Let $\mathfrak{h}$ denote the Cartan subalgebra of some Lie algebra $\mathfrak{g}$.
Let $(\pi,V)$ be a representation of the Lie algebra. ($V$ is the vector space, $\pi : \mathfrak{g} \mapsto End(V)$).
Let $\lambda \in \mathfrak{h}^*$ be a weight such that $\pi(h)v = \lambda(h)v \;\; \forall h \in \mathfrak{h}$, $ $ for some weight vector $v \in V$.
Let $e_\alpha$ be a root vector in $\mathfrak{g}$ with root $\alpha \in \mathfrak{h}^*$ $\;$ i.e. $[h,e_\alpha] = \alpha(h)e_\alpha \;\, \forall h \in \mathfrak{h}$.
I can show that
$[h,e_\alpha] = \alpha(h)e_\alpha \\
\Rightarrow \pi(h)\pi(e_\alpha) - \pi(e_\alpha)\pi(h) = \alpha(h)\pi(e_\alpha) \\
\Rightarrow \pi(h)\,(\pi(e_\alpha)v) = (\lambda(h) + \alpha(h))\:(\pi(e_\alpha)v)$
Which means either $\pi(e_\alpha)v = 0$ or that $\pi(e_\alpha)v$ is a weight vector with weight $\lambda + \alpha$.
How do I prove that if there exists a weight $\lambda+\alpha$, then $\pi(e_\alpha)v \neq 0$ ?
This does not hold in general. Consider the lie algebra $\mathfrak{sl}(2,\mathbb{C})$ and the following representation of it
\begin{equation} \pi(h)= \begin{pmatrix} 0 & 0 & 0 & 0 \\ 0 & 2 & 0 & 0 \\ 0 & 0 & 0 & 0 \\ 0 & 0 & 0 & -2 \end{pmatrix} ,\; \pi(e)= \begin{pmatrix} 0 & 0 & 0 & 0 \\ 0 & 0 & 1 & 0 \\ 0 & 0 & 0 & 1 \\ 0 & 0 & 0 & 0 \end{pmatrix} ,\; \pi(f)= \begin{pmatrix} 0 & 0 & 0 & 0 \\ 0 & 0 & 0 & 0 \\ 0 & 2 & 0 & 0 \\ 0 & 0 & 2 & 0 \end{pmatrix} \end{equation}
The vector $v=\begin{pmatrix}1\\0\\0\\0\end{pmatrix}$ is a weight vector with weight $0$. The weight $0+2=2$ exists. But $\pi(e)v=0$.
$\\$
The result is true if the following conditions hold:
With the above conditions, suppose $\pi(e_\alpha)=0$, then the proper subspace spanned by $\{...,\;(\rho(e_{-\alpha}))^2v,\;\rho(e_{-\alpha})v,\;v\}$ would be stable under the action of $\rho(h_\alpha)$, $\rho(e_\alpha)$ and $\rho(e_{-\alpha})$ contradicting the fact that $\rho$ is irreducible.