[step:Compute $I_\pm(\lambda)$ via the Stationary Phase Lemma in the $(n-1)$-dimensional tangent coordinates]
Consider $I_+$; the argument for $I_-$ is identical with the roles of $e_n$ and $-e_n$ swapped (same Hessian eigenvalues up to a sign in the phase). On the cap $V_+$, parametrise $S^{n-1}$ near $e_n$ by orthogonal projection onto the tangent hyperplane $T_{e_n}S^{n-1} = e_n^\perp \cong \mathbb{R}^{n-1}$:
\begin{align*}
\varphi : B_{\mathbb{R}^{n-1}}(0, 2\delta) &\to V_+ \subset S^{n-1} \\
y &\mapsto (y, \sqrt{1 - |y|^2}).
\end{align*}
Here $|y| < 2\delta < 1$, so $\sqrt{1 - |y|^2}$ is smooth in $y$. The pull-back of $d\sigma$ under $\varphi$ has the explicit smooth density
\begin{align*}
J(y) = \frac{1}{\sqrt{1 - |y|^2}},
\end{align*}
because the Riemannian volume element on $S^{n-1}$ in these coordinates equals $(1 - |y|^2)^{-1/2}\, d\mathcal{L}^{n-1}(y)$. The phase pulled back to $\mathbb{R}^{n-1}$ is
\begin{align*}
\widetilde\Phi : B_{\mathbb{R}^{n-1}}(0, 2\delta) &\to \mathbb{R} \\
y &\mapsto -\omega_n = -\sqrt{1 - |y|^2}.
\end{align*}
Compute the Taylor expansion at $y = 0$:
\begin{align*}
\widetilde\Phi(y) = -1 + \frac{|y|^2}{2} + O(|y|^4), \qquad \nabla\widetilde\Phi(0) = 0, \qquad H_{\widetilde\Phi}(0) = I_{n-1},
\end{align*}
the $(n-1) \times (n-1)$ identity matrix. So $y = 0$ is a non-degenerate critical point of $\widetilde\Phi$ with Hessian signature $(n-1, 0)$ and $|\det H_{\widetilde\Phi}(0)| = 1$.
Define the smooth, compactly supported amplitude
\begin{align*}
\psi_+ : \mathbb{R}^{n-1} &\to \mathbb{R} \\
y &\mapsto \chi_+(\varphi(y))\, J(y),
\end{align*}
extended by zero outside $B_{\mathbb{R}^{n-1}}(0, 2\delta)$, so $\psi_+ \in C_c^\infty(\mathbb{R}^{n-1})$ with $\psi_+(0) = J(0) = 1$. Then
\begin{align*}
I_+(\lambda) = \int_{\mathbb{R}^{n-1}} e^{-i\lambda\, \widetilde\Phi(y)}\, \psi_+(y)\, d\mathcal{L}^{n-1}(y).
\end{align*}
The hypotheses of the [Stationary Phase Lemma](/theorems/???) (in the form valid in $\mathbb{R}^{n-1}$) are met: $\widetilde\Phi$ is smooth on a neighbourhood of $\operatorname{supp}\psi_+$, has a unique non-degenerate critical point at $y = 0$ in $\operatorname{supp}\psi_+$ (we shrank $\delta$ to ensure this), and $\psi_+ \in C_c^\infty(\mathbb{R}^{n-1})$. The lemma gives
\begin{align*}
I_+(\lambda) = e^{-i\lambda\widetilde\Phi(0)}\!\left(\frac{2\pi}{\lambda}\right)^{(n-1)/2} \frac{e^{-i\pi\,\mathrm{sgn}(H_{\widetilde\Phi}(0))/4}}{|\det H_{\widetilde\Phi}(0)|^{1/2}}\, \psi_+(0) + O(\lambda^{-(n+1)/2}).
\end{align*}
With $\widetilde\Phi(0) = -1$, $\mathrm{sgn}(H_{\widetilde\Phi}(0)) = n-1$, $|\det H_{\widetilde\Phi}(0)| = 1$, $\psi_+(0) = 1$, this reads
\begin{align*}
I_+(\lambda) = e^{i\lambda}\, (2\pi/\lambda)^{(n-1)/2}\, e^{-i\pi(n-1)/4} + O(\lambda^{-(n+1)/2}).
\end{align*}
Hence $|I_+(\lambda)| \le A_+\, \lambda^{-(n-1)/2}$ for all $\lambda \ge 1$, with $A_+ = A_+(n)$ a constant depending only on $n$.
The argument for $I_-$ is the mirror image: parametrise near $-e_n$ by $y \mapsto (y, -\sqrt{1-|y|^2})$; the phase is $\omega_n \mapsto -\omega_n = +\sqrt{1-|y|^2}$, again with a non-degenerate critical point at $y = 0$ (now a maximum of the phase, Hessian $-I_{n-1}$). The Stationary Phase Lemma yields $|I_-(\lambda)| \le A_-\, \lambda^{-(n-1)/2}$ for $\lambda \ge 1$, with $A_- = A_-(n)$.
[/step]