I'm reading "A First Look At Rigorous Probability" by Jeffrey S. Rosenthal. On chapter one there is a proof which I can't fully understand.
Suppose, to the contrary, that $P(A)$ could be so defined for each subset $A \subseteq [0. 1]$. We will derive a contradiction to this. Define an equivalence relation on [0. 1] by: $x~y$ if and only if the difference $y - x$ is rational. This relation partitions the interval $[0. 1]$ into a disjoint union of equivalence classes. Let $H$ be a subset of $[0, 1]$ consisting of precisely one element from each equivalence class (such $H$ must exist by the Axiom of Choice). ....
My question is this: If we assume the Power Set Axiom, why do we need Axiom of Choice here. If the power set of $A$ exists, then its elements also exist. I mean, how can a set contain non-existent objects? And $H$ is clearly in the power set of $A$.
$P(A)$ is not the power set operator. It is the probability operator, I am guessing they mean the standard uniform one.
Indeed, Solovay proved that it is consistent that the probability measures all sets. So the axiom of choice is really needed.
The point is that just like $\sqrt2$ or $\pi$ are not members of every field, the power set operation is not fully decided by the existence of a power set. In particular, in different set theoretic universes there will be power sets that disagree with each other.
What choice allows you, is to prove that there are non-measurable sets. The fact that there are mathematical universes where all sets are measurable means that without choice it is indeed impossible to prove such sets exists: they don't exist in some models of $\sf ZF$.