[guided]We must show that $g_p$ is positive-definite: for every nonzero $u \in T_pM$, the value $g_p(u, u)$ is strictly positive. This is the only place in the entire proof where the hypothesis that $F$ is an *immersion* — and not merely a smooth map — enters. Why is this hypothesis needed here, and not in Steps 1 or 3? Bilinearity, symmetry, and smoothness of the pullback $F^*h$ hold for any smooth $F$, with no rank condition on $dF$ required. Positive-definiteness, by contrast, is delicate: it can be destroyed by pullback whenever $dF_p$ has a kernel. So the immersion hypothesis is precisely the ingredient that prevents this collapse.
Fix $p \in M$ and let $u \in T_pM$ with $u \neq 0$. Unfolding the definition of $g = F^*h$ at the pair $(u, u)$:
\begin{align*}
g_p(u, u) &= h_{F(p)}(dF_p u,\, dF_p u).
\end{align*}
We now ask: is the right-hand side positive? Since $h_{F(p)}$ is an inner product on $T_{F(p)}N$, it is positive-definite, so $h_{F(p)}(w, w) > 0$ for every nonzero $w \in T_{F(p)}N$. The strategy is therefore to show $dF_p u \neq 0$, then invoke positive-definiteness of $h$ at the point $F(p)$.
Why is $dF_p u \neq 0$? This is exactly where the immersion hypothesis is consumed. By the [definition of immersion](/page/Immersion), $F$ being a smooth immersion means that $dF_p : T_pM \to T_{F(p)}N$ is injective at every $p \in M$. Injectivity of $dF_p$ means $\ker dF_p = \{0\}$, so the only vector in $T_pM$ that $dF_p$ sends to zero is $0$ itself. Since we assumed $u \neq 0$, injectivity gives $dF_p u \neq 0$. Setting $w = dF_p u$ in the positive-definiteness of $h_{F(p)}$:
\begin{align*}
h_{F(p)}(dF_p u,\, dF_p u) > 0.
\end{align*}
Combining the two displays, $g_p(u, u) > 0$. Together with the bilinearity and symmetry established in Step 1, this shows $g_p$ is an inner product on $T_pM$.
It is worth seeing exactly what fails if we drop the immersion hypothesis. Suppose $F$ has a critical point at $p$ — that is, $dF_p$ is *not* injective. Then $\ker dF_p$ contains some nonzero $u \in T_pM$, and we compute
\begin{align*}
g_p(u, u) &= h_{F(p)}(dF_p u,\, dF_p u) = h_{F(p)}(0, 0) = 0.
\end{align*}
So $g_p(u, u) = 0$ for a nonzero $u$, meaning $g_p$ is only positive *semi*-definite, not positive-definite — it is a degenerate symmetric bilinear form, not an inner product. The immersion hypothesis (pointwise injectivity of $dF_p$) is precisely what converts positive-definiteness of $h$ at $F(p)$ into positive-definiteness of $F^*h$ at $p$.
One subtle point: we did **not** need $F$ itself to be injective on $M$ — only the differential $dF_p$ at each point. This is strictly weaker (an immersion can fold $M$ onto itself, identifying distinct points of $M$ to a single image point in $N$, as long as no tangent vector is collapsed at any individual $p$). This is why the conclusion of the theorem is "$F^*h$ is a Riemannian metric on $M$" rather than "on $F(M)$": each tangent space $T_pM$ acquires its own genuine inner product through the local injectivity of $dF_p$, regardless of whether $F$ itself is globally one-to-one.[/guided]