Note that there are two definitions of "theory" - a deductively closed set of sentences (which is what's being used here), or any set of sentences.
Since you care about deductively closed sets of sentences, let me rephrase the theorem:
Any maximal consistent set of sentences is deductively closed.
The idea behind why this is true is that - if $\Gamma$ is maximal consistent, and $\Gamma\vdash\alpha$ - then $\alpha$ had better be in $\Gamma$, or else $\Gamma$ wouldn't be maximal. Specifically, we show that $\Gamma\cup\{\alpha\}$ is consistent - this means $\Gamma\cup\{\alpha\}=\Gamma$ (since $\Gamma$ is maximal consistent), i.e., $\alpha\in\Gamma$.
So how do we show that $\Gamma\cup\{\alpha\}$ is consistent? Assume for contradiction that it isn't. Then - by definition - $\Gamma\vdash \neg\alpha$. But then $\Gamma$ is inconsistent, since $\Gamma\vdash\alpha$ and $\Gamma\vdash\neg\alpha$. And we assumed $\Gamma$ was consistent, so this is a contradiction.
This is exactly what the proof you've described is doing, and the conclusion - that if $\alpha$ is derivable from $\Gamma$, then $\alpha$ is in $\Gamma$ - is exactly the statement "$\Gamma$ is deductively closed", or in other words "$\Gamma$ is a theory".