One person has made the sort of outlandish and blatantly untrue claim that only a simpleton would believe. The other refuted that claim, a refutation that is entirely in line with everything we know about their extremely well-documented life, their background and the culture from which they come. We don't have to to take both claims as equally valid as it would be unbelievably stupid to do so. There is no burden of proof on Lukaku because both his entire personal history and basic common sense tell us that the claim is ludicrous, just as it would be if someone said Marcus Rashford was being forced to stay at Manchester United because of voodoo.
If Lukaku had been accused of being a shape-shifting lizzard, we wouldn't have proof that he wasn't either. But you wouldn't be entertaining that idea in some sort of weird defence of Zlatan, or saying that we're only taking him at his word so we can't really know. It's a ridiculous argument devoid of either logic or common sense, one that allows you to believe any slander about anyone without having to apply your brain for even half a second.
Also I have absolutely no idea what my political beliefs have to do with anything, unless not believing obvious bullshit and not making silly arguments on the internet are political positions now. In which case sign me up for that party.