Consider the set of Natural numbers, $\mathbb{N}$, and a particular natural number, $n$.
Consider $A_n$ to be the set of all subsets of $\mathbb{N}$ whose size is $\leq n$.
Now as we take $n$ to infinity, does this $A_n$ become the power set of $\mathbb{N}$?
The answer should be NO since $A_n$ is countable for all $n$, whereas the power set of $\mathbb{N}$ is not countable. We also know that a countable union of all countable sets is countable, but the power set of natural numbers is not countable.
So is there some glitch in the above argument?
I suppose by "take $n$ to infinity" you mean the set $$\bigcup_{n\in\mathbb{N}}A_n.$$ Indeed, this set is not the power set of $\mathbb{N}$. You can either (as you have done in your question) argue that this is a countable set where the power set is uncountable or you can see directly that the above union does not contain any infinite subsets of $\mathbb{N}$ while the power set certainly does.