 Solution

Uniform continuity means that for every $\epsilon >0$ there is a single $\delta >0$ such that $d(x,y)<\delta$ implies $|f(x)-f(y)|<\epsilon$ for all $x,y$. A $d^{\prime }$-Cauchy sequence converges uniformly pointwise to a bounded function; passing a uniform-continuity estimate through a sufficiently close member proves that the limit is uniformly continuous. Thus $C_{b,u}(X)$ is complete.

If $f\in C_0({\mathbb{R}}^n)$, decay at infinity and compactness of a ball make it bounded. Uniform continuity on a sufficiently large compact ball, together with small values outside it, proves global uniform continuity. Hence $C_0\subset C_{b,u}$.

A uniform limit of functions vanishing at infinity also vanishes at infinity, so $C_0$ is closed. It is not compact: translate a fixed compactly supported bump of height one so that the supports are disjoint. The resulting sequence has pairwise sup distance one and no convergent subsequence.