Not a proof, but an interesting visualization (using $n=7$) ...

Here, $|\overline{P_0P_1}| = 1$, and each $\triangle P_0 P_k P_{k+1}$ is isosceles with vertex angle $\angle P_k = \frac{2\pi k}{n}$ (or $2\pi-\frac{2\pi k}{n}$). Thus,
$$|\overline{P_0 P_{k+1}}| \;=\; 2\;|\overline{P_0 P_{k}}|\;\sin \frac{1}{2}\angle P_{k} \;=\; 2\;|\overline{P_0 P_{k}}|\;\sin\frac{\pi k}{n}$$
so that, ultimately, (with $A_i$ as in your figure)
$$|\overline{P_0 P_n}| = 2 \sin\frac{\pi}{n} \cdot 2\sin\frac{2\pi}{n}\cdot\;\cdots\;\cdot 2 \sin\frac{(n-1)\pi}{n} = |\overline{A_1 A_2}| \cdot |\overline{A_1 A_3}| \cdot\;\cdots\;\cdot |\overline{A_1 A_n}|$$
As the diagram makes clear, $P_0$, $P_1$, and $P_n$ are certainly collinear (as are, more generally, points $P_0$, $P_k$, $P_{n-k+1}$ for any $k$). However, while the diagram appears to show that $\overline{P_0 P_7} = 7$ (as it should, because we know that to be the case), this doesn't qualify as a proof.
OP notes that there exist proofs of the relation using "complex arithmetics". This answer, for instance, essentially gives one. (All we need to do is multiply the formula there by $|\overline{A_1A_2}|\cdot|\overline{A_1A_n}| = 2^2 \sin^2\frac{\pi}{n}$ to include the "diagonals" that are actually sides of the polygon.)
In reference to @StevenStadnicki's comment, it does seem that this ...
$$|\overline{P_0 P_n}| = |\overline{A_1 A_2}| \cdot |\overline{A_1 A_3}| \cdot\;\cdots\;\cdot |\overline{A_1 A_n}|$$
... asserts equality between a one-dimensional quantity on the left, and an $(n-1)$-dimensional quantity on the right. Perhaps we should instead write the dimensionless relation ...
$$\frac{|\overline{P_0 P_n}|}{|\overline{P_0 P_1}|} = \frac{|\overline{A_1 A_2}|}{|\overline{A_0 A_1}|} \cdot \frac{|\overline{A_1 A_3}|}{|\overline{A_0 A_1}|} \cdot\;\cdots\;\cdot \frac{|\overline{A_1 A_n}|}{|\overline{A_0 A_1}|}$$
... where $A_0$ is the center of the $A$-polygon's circumcircle. (This is effectively @JimmyK4542's suggestion.)