I've tried to do it the following way, but I don't know if I can use the product rule as such when matrices and vectors are involved.
\begin{equation*}
U'=\frac{dX'}{d\tau}=\frac{d}{d\tau}\Lambda{X}=\frac{d\Lambda}{d\tau}X+\Lambda\frac{dX}{d\tau}=\Lambda\frac{dX}{d\tau}=\Lambda{U}
\end{equation*}
since the Lorentz transformation matrix $\Lambda$ is independent of the proper time $\tau$.
If you are uncomfortable with matrices and vectors pick an arbitrary frame of unit orthogonal vectors $\vec e_0,$ $\vec e_1,$ $\vec e_2,$ and $\vec e_3.$ Then $\vec X=\sum_\mu X^\mu \vec e_\mu.$ You can also pick a potentially different arbitrary frame of unit orthogonal vectors $\vec e'_0,$ $\vec e'_1,$ $\vec e'_2,$ and $\vec e'_3.$ Then $\vec X=\sum_\mu X'^\mu \vec e'_\mu.$ Now the Lorentz transformation is a transformation of coordinates it sends the four tuple of numbers $(X^0,X^1,X^2,X^3)$ to a possibly different four tuple of numbers $(X^{'0},X^{1'},X^{2'},X^{'3}).$
And to be totally totally clear, a vector is a geometric object that points in a particular direction, from one when-where to another when-where. And the four tuple is just another way of writing the vector, four instance you can write $X=(X^0,X^1,X^2,X^3)$ instead of writing $\vec X= X^0 \vec e_0+X^1 \vec e_1+X^2\vec e_2+X^3 \vec e_3.$ And you could write $(X^{'0},X^{1'},X^{2'},X^{'3})$ instead of writing $X^{'0}\vec e'_0+X^{1'}\vec e'_1+X^{2'}\vec e'_2+X^{'3}\vec e'_3.$
All you are doing is choosing a different basis to write the same vector as a 4 tuple of numbers. Different four tuples, same vector. And one advantage of this is exactly to avoid having to learn how to deal with vectors and matrices. Instead you can note that $X^{'\mu}=\sum_\nu\Lambda^{\mu}_{\nu}X^\nu,$ where everything in that equation is a scalar. Then you can differentiate away.
Now that is an equation for scalars and it is only related to differentiation of vectors since you choice of basis vectors literally pointed in the same direction and magnitude for each time and each place. Otherwise you do need need to learn how to differentiate vectors. But the product rule does apply.
I feel like this is one of those proofs which seems to work too easily
You could differentiate a vector on the xy basis compared to the $\theta, r$ basis of you want something more complicated, you should learn that before you move on the general relativity.
- importantly, it offers no insight as to why $\tau$ is a good parameter to use rather than the time $t$ observed in $S$.
Now that you know it is the same vector, just expressed in two different basis you can see that it would make no sense whatsoever to differentiate it with respect to some random basis as if it is better than any other basis. Really you could differentiate it with respect to any orthonormal basis and then make a unit length vector at the end and that is fine. Because you are finding the tangent to the worldline, and when you parameterize by proper time you are scaling the tangent to have unit length.
Again, you can go back to calculus in a flat Euclidean plane and figure out how to compute a unit tangent to a curve and one way is to parameterize it by arc length and then differentiate it with respect to arc length.
And that isn't complicated the derivative is just a difference of vectors divided by a scalar. When that scalar is the length (proper time) then you have simply made a unit vector pointing between them. That's all that is going on.