There are many pieces to this question that you've asked, so let's answer them in turn.
Firstly, your reasoning about your question is very good. I'm going to reference it, so allow me to go through the argument once more.
Claim: A function $f(x)$ is continuous and twice differentiable. Prove that if the line segment joining $(a,f(a))$ and $(b,f(b))$ intersects the graph at $(c,f(c))$, then there exists a $t\in(a,b)$ such that $f''(t)=0$.
Proof: If $f$ is a line, then we are done since every point on $f$ has zero second derivative (Remark: but no inflection points).
Otherwise, the derivative of $f$ will be nonconstant. This means that the second derivative will be either or positive or negative somewhere. As you show, the second derivative will actually be both positive somewhere and negative somewhere. Since $f$ is twice-differentiable, $f'$ exists and is continuous. By the extreme value theorem, $f'$ will have a max or a min in the interval $[a,b]$. And since we know $f'$ is not always increasing/decreasing, there will be a $t \in (a,b)$ where $f'(t)$ is a max or a min (and therefore an inflection point of the graph of $f$). $\diamondsuit$
This is a slight reparsing of your proof, but it's solid. I think one good thing to clarify with your professor is what you mean by concavity. I'm going to assume that you define concave up and down along these lines:
$f$ is concave up on an interval $I$ if all tangents to the curve $f$ are below the graph of $f$ on $I$.
$f$ is concave down on an interval $I$ if all tangents to the curve $f$ are above the graph of $f$ on $I$.
Note that these definitions rely most fundamentally on a well-behaved first derivative, since tangents are properties from the first derivative. Since our first derivative exists and is continuous, we can expect nice and reasonable behavior from concavity.
If these agree with your definitions, then it's easy to see why the M-graph above cannot have no change of concavity if its first derivative is continuous. Since the first derivative exists, we can talk about tangents at all points of $x$. And since it's continuous, there can be no jumps in the slope of the tangents. In your proof, you used the mean value theorem to find a point $a' \in (a,c)$ where the slope was the same as the slope of the initial line. For ease of argument, let's suppose there is exactly one such point (i.e. I don't want to worry about many oscillations right now, but it all works), and that $f$ is above the line in $(a,c)$, for ease of description.
Now, to directly talk about the M-graph. Then if $f$ were always concave down, then the tangents to $f$ would always be above the graph of $f$. But we know that after $a'$, the slope of $f$ is always less than the slope of the $ab$-line segment. Further, we know that $f$ intersects the $ab$-line segment at $c$. Having a tangent with derivative less than the slope of the $ab$-line segment and intersecting the $ab$-line segment means that $f$ must drop below the line segment. This is a contradiction to the graph itself, and so $f$ is not always concave down.
Even in non-simplified cases, this style of argument (looking at the behavior of tangents to $f$ as they intersect and go above/below the line segment) shows that there will always be concavity changes. But behind the works we are using that they behave reasonably - if we don't know that $f'$ is continuous, then all bets are off.
Finally, $f(x) = \sin^2 x$ has many points of inflection. I'm going to guess that either your professor accidentally misspoke or had something else in mind (happens to me in front of my classes all the time).
$f$ is increasing $\iff$ $f'$ is positive
$f$ is concave down $\iff$ $f''$ is negative.
We don't have a picture of $f''$, but since $f''$ is the derivative of $f'$, we know that
$f''$ is negative $\iff$ $f'$ is decreasing.
Therefore, we are looking for the places where $f'$ is positive and decreasing, which you can find from the picture.
Best Answer
The change of concavity corresponds to a point where the second derivative of the function vanishes. In your case,
f(x) = sin(x) + cos(x)
f'(x) = cos(x) - sin(x)
f''(x)=-sin(x) - cos(x)
The second derivative cancels where sin(x) = - cos(x), that is to say tan(x) = -1; for x > 0, this corresponds to x = 3 Pi/4 which is larher than 2. So, as a plot of your function would easily show, for 0 < x < 2, there is no inflection point.
If you compute the value of the second derivative at any point in the range, say x = 0, you notice that the second derivative is negative. So your curve is concave down.
For sure, as user44197 points it out, you must also be sure that the third derivative is not zero at that point.