That's not really proof of anything since your headache could be purely psychological especially since you already suspect that the multivitamins are causing your headaches which means you are not an independent observer, but a biased (if well meaning) participant.
The correct way to prove it would be a double blind test using placebos. ie not something you could prove on your own.
They could have a friend prepare supplements that are real and placebo. Take them and record the results. It would go further to prove the effect within the sample population of themselves which is likely all they care about.
The correct way to prove it would be a double blind test using placebos. ie not something you could prove on your own.