It is not possible to make a proof environment which automatically
includes an `end-of-proof' symbol. Some proofs end in displayed maths;
others do not. If the input file contains ...\] \end{proof} then
LaTeX finishes off the displayed maths and gets ready for a new
line before it reads any instructions connected with ending the proof.
But traditionally the end-of-proof sign goes in the display, not on a
new line. So you just have to put it in by hand in every proof.