No, ##\mu## is not supposed to be the average of the measured x; it is supposed to be the mean of the distribution---given by the formula in my previous post.
Yes, there are no N values and limits in the end, because what you are being asked to show is the the large-N limit equals something, and that 'something' is just a number, not a function of N. For example, ##\lim_{N \to \infty} 1 + (1/N) = 1,## and at that point the '1' does not have any N's in it, or any 'lim', or anything like that: it is just the number '1'.