The short answer is no. A physics major does not need to know math proofs. You can absolutely get through physics with a knowledge of Calculus 1, 2, 3, Vector Analysis, and Linear Algebra and Differential Equations. A physics major should take partial differential equations too; one could list other math courses that a physics major "should" take, but that's the courses I would say should be necessary.
I was a Physics BS and a Math BS and graduated with honors. I'm now in finance and working on an MS Finance.
A physics major would greatly benefit from taking a course on proofs; these type courses are sometimes called transition to advanced math courses, analysis, or simply intro to mathematical proofs. I will say that as a student who completed over 180 credit hours at his undergraduate institution with courses in math, physics, chemistry, electrical engineering, computer engineering, organic chemistry, economics, accounting, finance, etc, the most useful course I ever took was my course that used the book How To Prove It A Structured Approach by Daniel J Velleman. It teaches you how write proofs, how to think, and inherently how to read proofs. It teaches you a methodical way of thinking. A similar course could be taken from a philosophy department; the math dept. does not have a monopoly on logic and proof courses.
I would tell you to take a course on how to read and write proofs for you own personal benefit and knowledge, just like I would tell you to take a sociology course and history course - necessary information I would say!
If you are a physics major, try to decide if you want to major in math. I did both, and it's challenging. I know you can do it if you want it! If you feel you will get a physics PhD and you know all you love to do is learn physics, I would go for a math BS too. But I have not met anyone as an undergraduate who fits that criteria. Maybe you are special.
If you can complete a math and physics degree in four years, I would do it, but it will make your life much harder, you'll have less free time, maybe no free time, and you'll always be doing math work. I tell you I would do it because I have no regrets for having done it, and I don't even want to do a physics phd anymore.
I would be "better off" now had I majored in accounting and economics with a math minor, but I loved math and physics at the time, and I needed something to cater to my ego to help me believe I was smarter than everyone else, and alas, math and physics did just that.
By better off, I am implying that given my current goals, I would be closer to them had I studied accounting, econ, etc. But as I would say to my girlfriend when I was battling with whether to do a physics Phd or econ phd or medical school, if I were study econ, I'd probably be reading physics in my free time, just like I was reading econ in my free time when I was studying physics.
Now that I've been out of undergrad math/physics for a while, I can tell you I love economics and finance, and that's what I want to do. When I was studying physics, I had trouble getting motivated to study E&M. I hated the text we were using. I had motivation problems not until my last year. Now that I am studying econ/finance, I am motivated again. I was this excited and motivated when I started in physics, but I think at this point, I can say with some confidence, that I will stick with economics/finance. I just like it. I may get a law degree, but only for the perceived job I may get from it; not because I enjoy studying the material like I enjoy economics.