Theory is one thing, but astronomers work by observation and proof. That would mean actually finding the black hole and seeing it work. 

 

The good news is that there should be a super-massive black hole somewhere at the centre of the Milky Way galaxy. It's not that far from us and we know exactly where to look, we know where to point our telescopes. The bad news is that the centre of our galaxy is an incredibly crowded and busy place. Many, many stars are packed much more densely than they are where we live in the Milky Way galaxy. It's an incredibly confusing and noisy environment. 

 

The stars around the centre of the Milky Way are hundreds of times denser than they are in the region around our sun. Finding an invisible black hole in all that swirling chaos would not be easy.