Changing your notation slightly, let's assume $A \in \operatorname{GL}_n^{+}(\mathbb{R})$ such that $A \cdot \operatorname{SO}_n(\mathbb{R}) \cdot A^{-1} \subseteq \operatorname{SO}_n(\mathbb{R})$. We will prove that indeed we must have $A = \lambda U$ for $\lambda > 0$ and $U \in \operatorname{SO}_n(\mathbb{R})$. First, using polar decomposition we can write $A = PU$ where $U \in \operatorname{SO}_n(\mathbb{R})$ and $P$ is positive definite. Then
$$ A \cdot \operatorname{SO}_n(\mathbb{R}) \cdot A^{-1} = P \cdot U \cdot \operatorname{SO}_n(\mathbb{R}) \cdot U^{-1} \cdot P^{-1} \subseteq \operatorname{SO}_n(\mathbb{R}). $$
Since $Q \mapsto U \cdot Q \cdot U^{-1}$ is an automorphism of $\operatorname{SO}_n(\mathbb{R})$, we get
$$ P \cdot \operatorname{SO}_n(\mathbb{R}) \cdot P^{-1} \subseteq \operatorname{SO}_n(\mathbb{R}). $$
Now, it is enough to show that $P = \lambda I$. Since $P$ is symmetric and positive, we can write $P = Q^{-1} \Sigma Q$ with $Q \in \operatorname{SO}_n(\mathbb{R})$ and $\Sigma$ diagonal with positive entries. Then
$$ P \cdot \operatorname{SO}_n(\mathbb{R}) \cdot P^{-1} = Q^{-1} \cdot \Sigma \cdot Q \cdot \operatorname{SO}_n(\mathbb{R}) \cdot Q^{-1} \cdot \Sigma^{-1} \cdot Q \subseteq \operatorname{SO}_n(\mathbb{R}). $$
Again, using the fact that conjugation is an automorphism, we get
$$ \Sigma \cdot \operatorname{SO}_n(\mathbb{R}) \cdot \Sigma^{-1} \subseteq \operatorname{SO}_n(\mathbb{R}). $$
Write $\Sigma = \operatorname{diag}(\lambda_1, \dots, \lambda_n)$. Assuming $n \geq 3$, the group $A_n$ of even permutations acts transitively on $\{ 1, \dots, n \}$ so for any $1 \leq i < j \leq n$ you have a special orthogonal permutation matrix $Q = Q_{i,j} \in \operatorname{SO}_n(\mathbb{R})$ which satisfies $Qe_i = e_j$. Then $(\Sigma Q \Sigma^{-1})(e_i) = \frac{\lambda_i}{\lambda_i} e_j$ has norm one iff $\lambda_i = \lambda_j$ which shows that all the diagonal entries $\lambda_i$ must be the same so $\Sigma = \lambda I$ for $\lambda > 0$. When $n = 2$, you cannot use a permutation matrix but you can choose instead a non-diagonal rotation matrix
$$ Q = \begin{pmatrix} \cos \theta & -\sin \theta \\ \sin \theta & \cos \theta \end{pmatrix} \in \operatorname{SO}_2(\mathbb{R})$$
with $\sin \theta \neq 0$ and then $(\Sigma^{-1} Q \Sigma)(e_1) = \cos^2 \theta \cdot e_1 + \frac{\lambda_2}{\lambda_1} \sin^2 \theta \cdot e_2$ has norm one iff $\lambda_1 = \lambda_2$ which leads to the same conclusion. The remaining case $n = 1$ can be trivially verified.
The same argument shows that if $A \in \operatorname{GL}_n(\mathbb{R})$ satisfies $A \cdot \operatorname{O}_n(\mathbb{R}) \cdot A^{-1} \subseteq \operatorname{O}_n(\mathbb{R})$ then $A = \lambda U$ for $U \in \operatorname{O}_n(\mathbb{R})$ and $\lambda \neq 0$. In this case, you don't even need to handle the case $n = 2$ separately.