[guided]The filter gives many intervals, not a single interval chosen once and for all. To extract a point from it, we use the shrinking dense sets $H_m$. For each $m \in \mathbb{N}$, choose $h_m \in G \cap H_m$, so $h_m$ is an interval in the filter with diameter less than $1/m$.
We now turn these small intervals into a nested sequence. Define $q_1 := h_1$. Suppose $q_m \in G$ has already been chosen. Since $G$ is a filter, it is directed downward: for the two conditions $q_m,h_{m+1} \in G$, there exists $q_{m+1} \in G$ such that $q_{m+1} \leq_{\mathbb{P}} q_m$ and $q_{m+1} \leq_{\mathbb{P}} h_{m+1}$. Because the order is reverse inclusion, this means $q_{m+1} \subseteq q_m$ and $q_{m+1} \subseteq h_{m+1}$.
Thus the closures $\overline{q_m}$ form a nested sequence of nonempty compact intervals, since each $q_m$ is a bounded open interval in $\mathbb{R}$. Moreover,
\begin{align*}
\operatorname{diam}(\overline{q_m}) \leq \operatorname{diam}(h_m) < 1/m.
\end{align*}
The nested interval theorem, which follows from completeness of $\mathbb{R}$, gives at least one real number in the intersection of these nested compact intervals. The diameter bound gives uniqueness: if two distinct points lay in every $\overline{q_m}$, their positive distance would be less than $1/m$ for every $m \in \mathbb{N}$. Hence there is a unique real number $x \in \mathbb{R}$ satisfying
\begin{align*}
x \in \bigcap_{m \in \mathbb{N}} \overline{q_m}.
\end{align*}
The uniqueness comes from the diameter bound: two distinct points in all the closures would have positive distance apart, contradicting $\operatorname{diam}(\overline{q_m}) < 1/m$ for sufficiently large $m$.
We still need to connect this point $x$ to every interval in the filter, not just to the chosen nested sequence. Fix $p \in G$. For each $m \in \mathbb{N}$, the directedness of $G$ gives $s_m \in G$ with $s_m \leq_{\mathbb{P}} p$ and $s_m \leq_{\mathbb{P}} q_m$. Hence $s_m \subseteq p \cap q_m$, so $p \cap q_m$ is nonempty. Since $x \in \overline{q_m}$ and the interval $q_m$ has diameter less than $1/m$, some point of $p$ lies within distance at most $1/m$ of $x$. Therefore the distance from $x$ to $p$ is at most $1/m$ for every $m$, and so $x \in \overline{p}$.
Finally fix one obstacle $F_{i,n}$. Because $G$ meets $D_{i,n}$, choose $p_{i,n} \in G \cap D_{i,n}$. From the preceding paragraph, $x \in \overline{p_{i,n}}$. From the definition of $D_{i,n}$,
\begin{align*}
\overline{p_{i,n}} \cap F_{i,n} = \varnothing.
\end{align*}
Therefore $x \notin F_{i,n}$. Since $(i,n)$ was arbitrary,
\begin{align*}
x \notin \bigcup_{(i,n) \in I} F_{i,n}.
\end{align*}
The earlier reduction gave $M_i \subseteq \bigcup_{n \in \mathbb{N}} F_{i,n}$ for every $i < \lambda$, so
\begin{align*}
x \notin \bigcup_{i < \lambda} M_i.
\end{align*}
This produces a real number outside the union, and hence
\begin{align*}
\bigcup_{i < \lambda} M_i \neq \mathbb{R}.
\end{align*}[/guided]