This is essentially the 2D version of this question. To start with, I apologise that, when I asked that question, I claimed "2D version is easy" and didn't give much serious thought on it. However, when I really settled down on writing a strict proof, it turned out none too trivial. Whatever I tried I couldn't help ending up with a mess.
So here goes the question:
In $\Bbb R^2$, there's a closed convex polygon $P$ and some point light source $s\notin P$. For each edge $E_i$ of $P$, the line passing through $E_i$ cuts the plane into two open regions, one of which doesn't intersect $P$ and we call it $R_i$. We say an edge $E_i$ of $P$ is lighted if $s\in R_i$. Collect all the lighted edges as $\mathcal F_s:=\{E_{k_{j}},j=1,\cdots,m\}$. Show that $\cup_j E_{k_j}$ is connected.
If this is proved, I think (again, without much serious thought, so don't bet on it!) that, by using Ethan Bolker's answer inductively, we can prove the general cases in $\Bbb R^n$.
But, for now, could anybody provide a rigorous proof for the 2D case? Thanks!