Question 1
I would like to understand the following change of variable
for $\phi(x)=nx,$ $\ d\phi=n\cdot dx,$ and $\chi_{E}(y)$ the usual characteristic function of a set $E$:
$$\int_0^1 \frac{n^{4/3}x}{1+n^{5/2}x^3} \ dx= \int_0^{+\infty}\frac{\phi(x)}{n^{2/3}+n^{1/6}\phi(x)}\chi_{(0,n)}(\phi(x)) \ d\phi$$
Question 2
Is there a more slick way to evaluate the integral
$$\lim_{n\to +\infty}\int_0^1 \frac{n^{4/3}x}{1+n^{5/2}x^3} \ dx$$
As you've noted in the comments, this can be easily solved with DCT. However, to follow what you've tried to gone through with, we could substitute $u=nx$ to get $x=u/n$ and $\mathrm dx=\mathrm du/n$, which give
$$\int_0^1\frac{n^{4/3}x}{1+n^{5/2}x^3}~\mathrm dx=\int_0^n\frac{n^{4/3}n^{-1}u}{1+n^{5/2}(n^{-1}u)^3}~\frac{\mathrm du}n$$
Expanding out the denominator:
$$1+n^{5/2}(n^{-1}u)^3=1+n^{5/2}n^{-3}u^3=1+n^{-1/2}u^3$$
and the numerator:
$$n^{4/3}n^{-1}u=n^{1/3}u$$
which, put together and dividing by $n$ becomes
$$\int_0^n\frac{n^{4/3}n^{-1}u}{1+n^{5/2}(n^{-1}u)^3}~\frac{\mathrm du}n=\int_0^n\frac{u}{n^{2/3}+n^{1/6}u^3}~\mathrm du$$
or equivalently,
$$\int_0^n\frac{u}{n^{2/3}+n^{1/6}u^3}~\mathrm du=\int_0^\infty\frac{u}{n^{2/3}+n^{1/6}u^3}\chi_{(0,n)}(u)~\mathrm du$$
We can factor $n^{1/6}$ out from the denominator and bound the integral by
$$\int_0^\infty\frac{u}{n^{2/3}+n^{1/6}u^3}\chi_{(0,n)}(u)~\mathrm du\le\int_0^\infty\frac{n^{-1/6}u}{1+u^3}~\mathrm du$$
where $\displaystyle\int_0^\infty\frac{u~\mathrm du}{1+u^3}$ converges by seeing it is bounded on $[0,1]$ and comparing the rest to $\displaystyle\int_1^\infty\frac{u~\mathrm du}{u^3}$.