Solution (source code)

= Solution

Convergence to a finite real limit is equivalent to the Cauchy property. The convergence set is therefore
$$
\boxed{\bigcap_{k=1}^\infty\bigcup_{N=1}^\infty\bigcap_{m,n\ge N}\{|f_m-f_n|\le1/k\}.}
$$
Each set in braces is <measurable>, and sigma-algebras are closed under all the displayed countable operations. Completeness of $\mathbb R$ ensures that the Cauchy property gives a <finite limit>, proving the claim.