This is a reasonable question. The fact that the idea of "Cayley/multiplication tables" does not make Lagrange's theorem clear at all (except in some sort of laborious and unexplanatory gritty discussion in specific instances) is, in fact, evidence for the subtlety of Lagrange's theorem (although it arose very early in "group theory").
That is, viewing "the group operation" as simply some sort of look-up table with various rules absolutely does not explain why Lagrange's theorem should hold. The proof of it uses nothing about such look-up tables, but only considerably-more-abstract aspects of the notion of "group".
I think this situation is slightly similar to aspects of the question/fact about unique factorization of positive integers into primes. Namely, the existence follows for any particular not-too-large integer because we literally numerically factor it. Likewise the uniqueness follows in any particular case because there are only finitely-many conceivably alternatives to be checked, and none of them succeed. But all that does not hint at the mechanism that makes unique factorization provable in general. That is, numerical examples may be check-able to certify the conclusion of a theorem, without giving any good hint at a proof mechanism for that theorem.