Past exam of the options II course of the University of Oxford / 2013 / E4 / a / iii / Solution

Suppose no $F_N$ is contained in $U$. Then $K_i=F_i\cap (X\setminus U)$ are nested nonempty closed subsets of the compact space. Part (ii) gives a point in their intersection. Such a point lies both in ${\bigcap }_i{F}_i$ and outside $U$, contradicting the hypothesis. Thus some $F_N\subseteq U$, and nesting givesCompactness upgrades containment of the limiting intersection to eventual containment of the whole nested sets.