[step:Verify the chain condition: every chain in $\mathcal{W}$ has an upper bound]
Let $\mathcal{C} = \{(A_i, \preceq_i)\}_{i \in I}$ be a chain in $\mathcal{W}$. Define
\begin{align*}
A := \bigcup_{i \in I} A_i,
\end{align*}
and define a relation $\preceq$ on $A$ by: for $a, b \in A$, set $a \preceq b$ if and only if $a \preceq_i b$ for some (equivalently, any) $i \in I$ with $a, b \in A_i$.
This is well-defined: if $a, b \in A_j \cap A_k$ for $j, k \in I$, then since $\mathcal{C}$ is a chain, either $(A_j, \preceq_j) \le (A_k, \preceq_k)$ or vice versa. In either case, $\preceq_j$ and $\preceq_k$ agree on $A_j \cap A_k$.
We verify $(A, \preceq)$ is a well-ordering. It is a total order because any two elements $a, b \in A$ belong to some common $A_i$ (since the $A_i$ form a chain under inclusion), and $\preceq_i$ totally orders $A_i$. For the well-ordering property, let $\varnothing \neq B \subset A$. Choose any $b \in B$, so $b \in A_j$ for some $j$. The set $B \cap A_j$ is nonempty (it contains $b$) and is a subset of the well-ordered set $(A_j, \preceq_j)$, so it has a $\preceq_j$-least element $m$. We claim $m$ is the $\preceq$-least element of $B$. Let $b' \in B$ be arbitrary. If $b' \in A_j$, then $m \preceq_j b'$, so $m \preceq b'$. If $b' \notin A_j$, then since $\mathcal{C}$ is a chain and $b' \in A_k$ for some $k$, either $A_j \subset A_k$ or $A_k \subset A_j$. Since $b' \notin A_j$, we must have $A_j \subsetneq A_k$, so $(A_j, \preceq_j) \le (A_k, \preceq_k)$, meaning every element of $A_j$ precedes every element of $A_k \setminus A_j$ under $\preceq_k$. In particular, $m \in A_j$ and $b' \in A_k \setminus A_j$, so $m \preceq_k b'$, hence $m \preceq b'$.
Therefore $(A, \preceq) \in \mathcal{W}$ and $(A_i, \preceq_i) \le (A, \preceq)$ for all $i \in I$, so $(A, \preceq)$ is an upper bound for $\mathcal{C}$.
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