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Let $m=\mathbb{E}\Vert X_1{\Vert }_2$ and $q=\sqrt{n}K\ge 2$. The Lipschitz continuity of cosine and the Cauchy-Schwarz inequality implyThe centered expectation term contributes $nm$; omitting it would leave the Lipschitz bound incomplete. In particular $S_n$ has continuous sample paths on the compact cube, so its maximum exists and is measurable.

PutChoose a Cartesian finite net $G\subset [-K,K{]}^d$ whose coordinate spacings are at most $\eta$, including the endpoints. Every point of the cube is within Euclidean norm distance $\sqrt{d}\eta$ of $G$, andOn the event $L_n\le n{q}^a$, replacing any $u$ by a nearby grid point changes $S_n$ by at most $\sqrt{dn}$. Since $R>8\sqrt{d}$ and $\log (n{K}^2)\ge \log 4$, this is less than $\frac{R}{4}\sqrt{n\log (n{K}^2)}$. ThereforeThe Markov inequality bounds the first event by $2m{q}^{-a}$. At a fixed $v$, the summands are centered, independent and identically distributed, and have absolute value at most $2$. The supplied Hoeffding inequality, with $M=2$, bounds each grid event byA union bound now givesThe choice of $a$ balances the cost of a large random Lipschitz constant against the covering number of the cube: $d(1+a)-R^2/64=-a$. Consequently $C=2m+2\cdot 4^d$ works, withThis uses only the first moment $m$ and has a constant independent of $n,K,R$. The finite net is deterministic even though the Lipschitz constant is random.

Suppose $|Z(u)-Z(v)|\le L\Vert u-v\Vert$ with a random finite $L$. On $L\le \ell$, a finite net with radius $\eta$ bounds the full supremum by the grid maximum plus $\ell \eta$. The Markov inequality controls the exceptional event using $\mathbb{E}L$, and a union bound controls the grid maximum. Choosing the net spacing balances these two costs.