I have a proof of this; I understand the implications of all the steps, but I am struggling to understand why a particular step is true, namely the statement
$B_n \subset I$ so we can say:$$\ \sup_{b \in B_n} \inf_{a \in I} d(a,b) = 0$$.
Why can we say this?
Any help would be appreciated!

Let $b \in B_n$. Then also $b \in [0,1]$, so $\inf_{a \in I} d(a,b) = d(b,b) = 0$.