I was reading about the proper direct image functor, which can be defined in a general setting as follows.
Let $X$ and $Y$ be topological spaces and let $f:X\rightarrow Y$ be a continuous map. Let $\mathcal{F}$ be a sheaf of abelian groups on $X$. For a section $\sigma$ of $\mathcal{F}$ the support of $\sigma$ is defined to be the closure of $\{x\mid \sigma_x\neq 0\}$. The proper direct image $f_!\mathcal{F}$ is then defined to be the sheaf on $Y$ with $$ f_!\mathcal{F}(V):=\left\{\sigma\in \mathcal{F}\left(f^{-1}(V)\right) \ \middle| \ \text{$f|_{\mathrm{supp}(\sigma)}: \mathrm{supp}(\sigma)\rightarrow V$ is proper} \right\}. $$
Now consider the case where the map $f$ is an open embedding $U\rightarrow X$ and $\mathcal{F}$ is a sheaf of abelian groups on $U$. I have seen in many different texts stating the fact that in this case $f_!$ coincide with what is called "extension by zero", which is equivalent to saying that $$ \left(f_!\mathcal{F}\right)_x=\left\{\begin{array}{ll} \mathcal{F}_x & \text{if $x\in U$},\\ 0 & \text{otherwise}. \end{array}\right. $$ I haven't been able to find any proof of such statement. While the first case ($x\in U$) is pretty obvious, I have not been able to prove the second case ($x\notin U$).
Just for the reference, while I was doing a search on the internet, I also came across this post on mathstackexchange from 2 years ago on the exact same topic, which has not been answered:
Prove extension by zero is a special case of lower shriek?
Here are my questions:
Is the statement correctly stated? Did I miss any topological conditions (such as locally compact or Hausdorff) on the spaces $X$ that would otherwise make the statement correct?
How to prove this statement? I feel like if the statement is correct, then one should be able to prove it just using point-set topology since we are stating all definitions in topological terms.
I don't know if it's too late since I'm new to this site.