It depends: there do exist some conjectures for which there don't exist any proofs, but a huge amount of results assuming this conjecture (which is very near to assuming that the conjecture is true). Examples are:
- Riemann hypothesis [1]
- Generalized Riemann hypothesis (GRH) [2], and potentially also Extended Riemann hypothesis (ERH) [3]
- Standard conjectures on algebraic cycles [4]
- perhaps Schanuel’s conjecture [5]
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[1] https://en.wikipedia.org/w/index.php?title=Riemann_hypothesi...
[2] https://en.wikipedia.org/w/index.php?title=Generalized_Riema...
[3] https://en.wikipedia.org/w/index.php?title=Generalized_Riema...
[4] https://en.wikipedia.org/w/index.php?title=Standard_conjectu...
[5] https://en.wikipedia.org/w/index.php?title=Schanuel%27s_conj...
It can be productive to assume something is true and see what happens.