[guided]The key point is that the only way a convex combination of signed coordinate vectors can equal $0$ is by using opposite signed vectors in some coordinate direction. We now make that statement precise on one simplex.
Let $\sigma$ be a simplex of $K$, and let $v_0,\dots,v_m$ be its vertices. Because $\sigma$ is a simplex, every pair $\{v_j,v_k\}$ with $j \neq k$ is an edge of $K$. Our contradiction assumption says that no edge has labels $i$ and $-i$ for any $i \in \{1,\dots,d\}$. Therefore, on this one simplex, the labels cannot contain both $i$ and $-i$ for the same coordinate index $i$.
Take any point $x \in \sigma$. By the definition of barycentric coordinates, there are [real numbers](/page/Real%20Numbers) $a_0,\dots,a_m$ such that $a_j \geq 0$ for each $j$,
\begin{align*}
\sum_{j=0}^{m} a_j = 1,
\end{align*}
and
\begin{align*}
x = \sum_{j=0}^{m} a_j v_j.
\end{align*}
Since $F$ is affine on $\sigma$, it respects barycentric combinations, so
\begin{align*}
F(x) = \sum_{j=0}^{m} a_j F(v_j) = \sum_{j=0}^{m} a_j \phi(\lambda(v_j)).
\end{align*}
Now group the terms by coordinate direction. For each $i \in \{1,\dots,d\}$, define $\varepsilon_i \in \{-1,0,1\}$ by setting $\varepsilon_i = 1$ if the label $i$ occurs on $\sigma$, setting $\varepsilon_i = -1$ if the label $-i$ occurs on $\sigma$, and setting $\varepsilon_i = 0$ if neither label occurs. This definition is unambiguous because $i$ and $-i$ cannot both occur on $\sigma$. Also define the non-negative coefficient
\begin{align*}
A_i = \sum_{\{j : |\lambda(v_j)| = i\}} a_j.
\end{align*}
Then the contribution in the $i$-th coordinate direction is exactly $\varepsilon_i A_i e_i$, and hence
\begin{align*}
F(x) = \sum_{i=1}^{d} \varepsilon_i A_i e_i.
\end{align*}
Assume that $F(x) = 0$. Since $e_1,\dots,e_d$ are the standard basis vectors of $\mathbb{R}^d$, equality to $0$ forces each coordinate coefficient to vanish:
\begin{align*}
\varepsilon_i A_i = 0
\end{align*}
for every $i \in \{1,\dots,d\}$. If $A_i > 0$, then at least one vertex of $\sigma$ has label $i$ or $-i$, so by construction $\varepsilon_i$ is either $1$ or $-1$. Thus $\varepsilon_i A_i \neq 0$, a contradiction. Therefore $A_i = 0$ for every $i$.
But the sets of indices $\{j : |\lambda(v_j)| = i\}$ partition $\{0,\dots,m\}$ as $i$ ranges from $1$ to $d$. Hence
\begin{align*}
\sum_{i=1}^{d} A_i = \sum_{j=0}^{m} a_j = 1.
\end{align*}
This contradicts $A_i = 0$ for all $i$. Therefore $F(x) \neq 0$ for every $x \in \sigma$. Since the simplex $\sigma$ was arbitrary, the map $F$ never takes the value $0$ on $|K|$.[/guided]