[guided]The approximating functions are the finite-time Busemann functions. For each $t>0$, we first declare the maps
\begin{align*}
r_t: M &\to [0,\infty) \\
x &\mapsto d_g(x,\rho(t)),
\end{align*}
and
\begin{align*}
u_t: M &\to \mathbb{R} \\
x &\mapsto t-r_t(x).
\end{align*}
The Busemann function is defined as the limit of these maps:
\begin{align*}
b_\rho(x)=\lim_{t\to\infty}u_t(x).
\end{align*}
We need more than pointwise convergence because the final argument passes to the limit inside integrals over compact supports. The key compactness input is that all $u_t$ have the same Lipschitz constant. For any $x,y \in M$, the triangle inequality for the Riemannian distance gives
\begin{align*}
|r_t(x)-r_t(y)| \leq d_g(x,y).
\end{align*}
Since $u_t=t-r_t$, the constant $t$ cancels in differences, and hence
\begin{align*}
|u_t(x)-u_t(y)| \leq d_g(x,y).
\end{align*}
We also use the fact that the parameter family is monotone. If $s \leq t$, then the ray condition gives
\begin{align*}
d_g(\rho(s),\rho(t))=t-s.
\end{align*}
Applying the triangle inequality through $\rho(s)$,
\begin{align*}
r_t(x)=d_g(x,\rho(t)) \leq d_g(x,\rho(s))+d_g(\rho(s),\rho(t))
= r_s(x)+t-s.
\end{align*}
Rearranging gives
\begin{align*}
s-r_s(x)\leq t-r_t(x),
\end{align*}
which is exactly $u_s(x)\leq u_t(x)$.
Thus $(u_t)$ is a monotone family of functions with a uniform Lipschitz bound. We now prove the local uniform convergence rather than merely naming a compactness principle. Let $K_0\subset M$ be compact and let $\varepsilon>0$. Because $K_0$ is compact, choose finitely many points $x_1,\dots,x_N\in K_0$ such that every $x\in K_0$ satisfies $d_g(x,x_j)<\varepsilon/3$ for some $j$. The limit $b_\rho$ is also $1$-Lipschitz: for any $x,y\in M$,
\begin{align*}
|b_\rho(x)-b_\rho(y)|
=\lim_{t\to\infty}|u_t(x)-u_t(y)|
\leq d_g(x,y).
\end{align*}
For each fixed net point $x_j$, monotone pointwise convergence gives $u_t(x_j)\uparrow b_\rho(x_j)$. Since there are only finitely many net points, choose $T>0$ such that
\begin{align*}
0\leq b_\rho(x_j)-u_t(x_j)<\varepsilon/3
\end{align*}
for every $j\in\{1,\dots,N\}$ and every $t\geq T$. Now take any $x\in K_0$ and choose $x_j$ with $d_g(x,x_j)<\varepsilon/3$. Using the Lipschitz bounds for both $u_t$ and $b_\rho$,
\begin{align*}
0\leq b_\rho(x)-u_t(x)
&\leq |b_\rho(x)-b_\rho(x_j)|+|b_\rho(x_j)-u_t(x_j)|+|u_t(x_j)-u_t(x)| \\
&< \varepsilon.
\end{align*}
This proves uniform convergence on $K_0$. Since $K_0$ was an arbitrary compact subset of $M$, $u_t\to b_\rho$ locally uniformly.[/guided]