[step:Close the contour to the left when $y>1$]
Assume $y>1$, so $L>0$. Fix $T>0$ and let $R>0$. Consider the positively oriented rectangle with vertices
\begin{align*}
c-iT,\quad c+iT,\quad -R+iT,\quad -R-iT.
\end{align*}
For $R>0$, the pole $0$ lies inside this rectangle. By the Cauchy residue theorem,
\begin{align*}
\int_{c-iT}^{c+iT}F_y(s)\,ds
+
\int_{c+iT}^{-R+iT}F_y(s)\,ds
+
\int_{-R+iT}^{-R-iT}F_y(s)\,ds
+
\int_{-R-iT}^{c-iT}F_y(s)\,ds
=
2\pi i.
\end{align*}
We estimate the left vertical side. Parametrize it by
\begin{align*}
\gamma_R: [-T,T] &\to \mathbb{C} \\
t &\mapsto -R+it.
\end{align*}
Then
\begin{align*}
\left|\int_{-R+iT}^{-R-iT}F_y(s)\,ds\right|
&\leq \int_{-T}^{\,T}\frac{e^{-LR}}{|-R+it|}\,d\mathcal{L}^1(t) \\
&\leq \frac{2T e^{-LR}}{R}.
\end{align*}
For fixed $T$, this tends to $0$ as $R\to\infty$.
For the two horizontal sides, using $|\,\sigma \pm iT\,|\geq T$, we obtain
\begin{align*}
\left|\int_{c+iT}^{-R+iT}F_y(s)\,ds\right|
&\leq \int_{-R}^{c}\frac{e^{L\sigma}}{|\sigma+iT|}\,d\mathcal{L}^1(\sigma) \\
&\leq \frac{1}{T}\int_{-R}^{c}e^{L\sigma}\,d\mathcal{L}^1(\sigma) \\
&\leq \frac{e^{Lc}}{LT},
\end{align*}
and the same estimate holds for the lower horizontal side:
\begin{align*}
\left|\int_{-R-iT}^{c-iT}F_y(s)\,ds\right|
\leq \frac{e^{Lc}}{LT}.
\end{align*}
For fixed $T>0$, the improper horizontal-side integrals as $R\to\infty$ exist absolutely, because
\begin{align*}
\int_{-\infty}^{c}\frac{e^{L\sigma}}{|\sigma+iT|}\,d\mathcal{L}^1(\sigma)
&\leq \frac{1}{T}\int_{-\infty}^{c}e^{L\sigma}\,d\mathcal{L}^1(\sigma)
= \frac{e^{Lc}}{LT},
\end{align*}
and the same bound holds with $\sigma-iT$ in place of $\sigma+iT$.
Letting $R\to\infty$ in the rectangular identity gives
\begin{align*}
\left|\int_{c-iT}^{c+iT}F_y(s)\,ds - 2\pi i\right|
\leq \frac{2e^{Lc}}{LT}.
\end{align*}
Dividing by $2\pi i$ and then letting $T\to\infty$ yields
\begin{align*}
\lim_{T\to\infty} I_T(y,c)=1.
\end{align*}
[/step]