[guided]The failed cosine-substitution argument tried to compare the periodic modulus of $F(\theta)=f(\cos\theta)$ directly with the ordinary interval modulus of $f$. That comparison is not valid for ordinary moduli, so we instead use the approximation theorem that is built for algebraic polynomials on the interval itself.
The input is the algebraic Jackson approximation theorem on $[-1,1]$. For each fixed $r \in \mathbb{N}$, it provides a constant $J_r>0$ such that whenever $g \in C([-1,1])$ and $m \geq r$, there exists a polynomial $P_{m,g} \in \mathbb{P}_m$ satisfying
\begin{align*}
\|g-P_{m,g}\|_{C([-1,1])} \leq J_r\,\omega_r\left(g,\frac{1}{m}\right)_{[-1,1]}.
\end{align*}
This theorem is the genuine approximation input: it constructs an algebraic polynomial on the interval and proves the modulus-of-smoothness error estimate. The present theorem then performs only the final infimum step. Thus there is no appeal to the conclusion being proved; we are using the stronger established polynomial-existence result as a prerequisite.
We verify the hypotheses before applying it. The function in the theorem is $g=f$, and the statement assumes $f \in C([-1,1])$. The degree parameter in the theorem is $m=n$, and the statement assumes $n \geq r$. Therefore the algebraic Jackson approximation theorem gives a polynomial $P_{n,f} \in \mathbb{P}_n$ with
\begin{align*}
\|f-P_{n,f}\|_{C([-1,1])} \leq J_r\,\omega_r\left(f,\frac{1}{n}\right)_{[-1,1]}.
\end{align*}
Define
\begin{align*}
p: [-1,1] \to \mathbb{R}, \qquad x \mapsto P_{n,f}(x).
\end{align*}
Because $P_{n,f} \in \mathbb{P}_n$, the function $p$ is an admissible algebraic polynomial of degree at most $n$, and the displayed estimate becomes
\begin{align*}
\|f-p\|_{C([-1,1])} \leq J_r\,\omega_r\left(f,\frac{1}{n}\right)_{[-1,1]}.
\end{align*}
This is already an admissible degree-$n$ algebraic approximation to $f$ with the required scale of error.[/guided]