We already know all convergent sequences are Cauchy, so if you show all Cauchy sequences in R converge to a number in R, then you have shown all convergent sequences converge to a number in R which by def means R is complete.
If you already knew the above sorry =b
By axiom (I believe, I am rusty), R has the least upperbound (lub) property. That means if I have a sequence with an upper bound, it will have a least upper bound, and what's important for this proof is that by "have a least upper bound" we mean that not only does the lub exist, but it is a real number.
What's the goal? To show a_n is is a real number.
Well, your proof comes up with a bounded (by above) set, which gives it a lub that is real. Then it turns out that a_n is the lub, so a_n is real. Which is the goal.
If you also already knew the above then bourbaki probably explained it.. I can only help with an example:
Consider:
a_n := 1/n ie 1, 1/2 , 1/3, 1/4 (just a random convergent sequence).. then
S = R^- U { 0 } (all the negative real numbers and 0).
You can see easily that the lub is 0 and that a_n converges to 0.
what if we let it go to 0 from the left?
a_n = 0 - 1/n ie -1, -1/2, -1/3 etc
S = (-infty,0) // why not 0?
Anyways,.. again the lub is 0 and this is another example of an S.
So the quick answer is S is a trick used to solve the problem, and someone (I hope!) spent a long time figuring it out.. I only hope because it would have taken me personally a long time, if ever, to prove it like this.