 Solution

Use the approximants just chosen. The weak type (1,1) bound givesThe measures of these exceptional sets are summable. Indeed, the measure of their union for $n\ge m$ is at most $C{\sum }_{n\ge m}{2}^{-n}\to 0$. Hence their limsup is null; this is the Borel-Cantelli first lemma. Outside it, $S(g-f_n)\to 0$.

Remove also the countable null set from part (b). At each remaining point and for every $n$, the estimate in part (a) yieldsLetting $n\to \infty$ makes the right side zero. ThereforeThis proves almost-everywhere convergence from weak-type domination. The argument uses countably many measurable exceptional sets and does not assume that a supremum over all real parameters is measurable.