[guided]Let us check the relation carefully, because this is where the cocycle condition is used most directly. Define $X := \bigsqcup_{i \in I} U_i \times F$. An element of $X$ is a triple $(i,b,y)$, where $i \in I$, $b \in U_i$, and $y \in F$. The proposed gluing rule says that, whenever $b$ lies in both $U_i$ and $U_j$, the point $(i,b,y)$ in the $i$-th copy of $U_i \times F$ is identified with the point $(j,b,g_{ji}(b)\cdot y)$ in the $j$-th copy.
Before proving symmetry, we need to know that $g_{ji}(b)$ is the inverse of $g_{ij}(b)$. This follows from the cocycle identity, not from an additional hypothesis. If $b \in U_i \cap U_j$, then using the cocycle identity with $(i,j,k)=(i,j,i)$ gives
\begin{align*}
g_{ij}(b)g_{ji}(b)=g_{ii}(b)=e.
\end{align*}
Using it with $(i,j,k)=(j,i,j)$ gives
\begin{align*}
g_{ji}(b)g_{ij}(b)=g_{jj}(b)=e.
\end{align*}
Thus $g_{ji}(b)=g_{ij}(b)^{-1}$ in the Lie group $G$.
Now reflexivity follows from the identity element of the action. For $b \in U_i$ and $y \in F$,
\begin{align*}
(i,b,y) \sim (i,b,g_{ii}(b)\cdot y)=(i,b,e\cdot y)=(i,b,y).
\end{align*}
For symmetry, assume $(i,b,y)$ has been identified with $(j,b,g_{ji}(b)\cdot y)$. To return from the $j$-chart to the $i$-chart, we apply $g_{ij}(b)$ to the fibre coordinate. Since $g_{ij}(b)g_{ji}(b)=e$, the action gives
\begin{align*}
g_{ij}(b)\cdot \bigl(g_{ji}(b)\cdot y\bigr)
= \bigl(g_{ij}(b)g_{ji}(b)\bigr)\cdot y
= e\cdot y
= y.
\end{align*}
Therefore $(j,b,g_{ji}(b)\cdot y) \sim (i,b,y)$.
For transitivity, suppose we first pass from the $i$-copy to the $j$-copy and then from the $j$-copy to the $k$-copy. The fibre coordinate changes first by $g_{ji}(b)$ and then by $g_{kj}(b)$, so the resulting fibre coordinate is
\begin{align*}
g_{kj}(b)\cdot(g_{ji}(b)\cdot y).
\end{align*}
Because this is a left action, this equals
\begin{align*}
\bigl(g_{kj}(b)g_{ji}(b)\bigr)\cdot y.
\end{align*}
The cocycle identity with indices $(k,j,i)$ gives
\begin{align*}
g_{kj}(b)g_{ji}(b)=g_{ki}(b).
\end{align*}
Hence the two-stage identification sends $(i,b,y)$ to exactly the same point as the direct identification from the $i$-copy to the $k$-copy:
\begin{align*}
g_{kj}(b)\cdot(g_{ji}(b)\cdot y)=g_{ki}(b)\cdot y.
\end{align*}
Thus $(i,b,y) \sim (k,b,g_{ki}(b)\cdot y)$, proving transitivity. The relation is therefore an equivalence relation.[/guided]