A. Neumaier said:
This only proves the existence of the renormalized perturbative series.
But this doesn't define the theory since it gives only an asymptotic series for the physical quantities, which is not good enough since infinitely many functions have the same asymptotic series.
That's why people talk about nonperturbative construction. One can treat quantum field theories on the lattice, which counts as nonperturbative, but the lattice approach has other difficulties. In particular, it breaks all continuous symmetries. To recover these, one has to take a continuum limit, and there all problems resurface.
No interactive relativistic QFT in 1+3 dimensions is under full nonperturbative control - which would mean: has a sound mathematical basis. One can do it either with full control of all limits in lower dimension, or with uncontrolled approximations in 4D. To construct an interactive QFT in 4 dimensions in a fully sound way is one of the big unsolved problems. The simplest case to be constructed first is considered by many to be Yang-Mills theory (i.e., QCD without quarks, glueballs only). But even this is already deemed very hard - it is one of the 7 Clay Millennium problems.