If is continuous at , choose a small interval on which . The triangle inequality makes its oscillation less than , so .
Conversely, if , then for every some has . As itself belongs to the interval used in that supremum, for . Thus is continuous at .
The continuity set of a function is therefore
Each set in the intersection is open by part (i), so this is a G-delta set and in particular a Borel set, even if itself is not measurable.
Yes. In fact, measurability of is unnecessary. Define the oscillation
For every , the set is open, and is continuous at exactly when . Hence the continuity set of a function is
a set and therefore a Borel set.