[step:Prove the Haar improvement alternative on the active error set]Define the active set $A\subset [a,b]$ by
\begin{align*}
A:=\{x\in[a,b]: |e(x)|=E\}.
\end{align*}
Since $e$ is continuous and $[a,b]$ is compact, $A$ is a nonempty compact subset of $[a,b]$. Define the sign function $s:A\to\{-1,1\}$ by
\begin{align*}
s(x):=\operatorname{sgn}(e(x)).
\end{align*}
This is well-defined on $A$ because $|e(x)|=E$. If $E=0$, then $f=p\in X$, and the theorem is immediate: any $n+1$ distinct points in $[a,b]$ give $e(x_i)=0=\sigma(-1)^iE$. Thus assume $E>0$.
We prove the following alternative.
[claim:Haar improvement alternative]
Either $A$ contains points $x_0<\cdots<x_n$ such that $s(x_i)=\sigma(-1)^i$ for some $\sigma\in\{-1,1\}$, or there exists $h\in X$ such that
\begin{align*}
s(x)h(x)>0
\end{align*}
for every $x\in A$.
[/claim]
[proof]
Choose a basis $u_1,\dots,u_n$ of $X$. Define the evaluation map
\begin{align*}
U:[a,b]\to\mathbb{R}^n
\end{align*}
by
\begin{align*}
U(x):=(u_1(x),\dots,u_n(x)).
\end{align*}
The Haar property implies that for every choice of distinct points $t_1<\cdots<t_n$ in $[a,b]$, the matrix $(u_j(t_i))_{i,j=1}^n$ is invertible. Indeed, if it were singular, there would be coefficients $c_1,\dots,c_n$, not all zero, such that $h:=\sum_{j=1}^n c_j u_j$ vanished at all $t_1,\dots,t_n$, contradicting the Haar property.
Define the compact set $K\subset\mathbb{R}^n$ by
\begin{align*}
K:=\{s(x)U(x):x\in A\}.
\end{align*}
A function $h=\sum_{j=1}^n c_j u_j\in X$ satisfies $s(x)h(x)>0$ on $A$ exactly when the vector $c:=(c_1,\dots,c_n)\in\mathbb{R}^n$ satisfies
\begin{align*}
c\cdot v>0
\end{align*}
for every $v\in K$.
If $0\notin \operatorname{conv}(K)$, the compact convex set $\operatorname{conv}(K)$ and the singleton $\{0\}$ are disjoint. Since $\operatorname{conv}(K)$ is compact, choose $w\in\operatorname{conv}(K)$ with minimal Euclidean norm. Then $w\neq0$. For every $v\in\operatorname{conv}(K)$ and every $t\in[0,1]$, minimality of $w$ gives
\begin{align*}
|w|^2\leq |(1-t)w+tv|^2.
\end{align*}
Expanding the right-hand side and dividing by $t>0$ gives
\begin{align*}
0\leq 2w\cdot(v-w)+t|v-w|^2.
\end{align*}
Letting $t\downarrow0$ yields $w\cdot v\geq |w|^2>0$. In particular $w\cdot v>0$ for every $v\in K$. Therefore $h:=\sum_{j=1}^n w_j u_j$ satisfies $s(x)h(x)>0$ for every $x\in A$.
It remains to show that if $0\in\operatorname{conv}(K)$, then $A$ contains an alternating chain of length $n+1$. By Carathéodory's finite-dimensional convexity theorem, there exist points $y_0<\cdots<y_m$ in $A$ and coefficients $\lambda_0,\dots,\lambda_m>0$, with $m\leq n$ and $\sum_{r=0}^m\lambda_r=1$, such that
\begin{align*}
\sum_{r=0}^m \lambda_r s(y_r)U(y_r)=0.
\end{align*}
Choose such a representation with the smallest possible number of support points.
The vectors $U(y_0),\dots,U(y_m)$ are linearly independent whenever $m\leq n-1$. To prove this, extend the distinct points $y_0,\dots,y_m$ to $n$ distinct points $t_1<\cdots<t_n$ in $[a,b]$. The Haar determinant invertibility proved above says that the $n\times n$ matrix $(u_j(t_i))_{i,j=1}^n$ is invertible, so its rows are linearly independent. The rows corresponding to $y_0,\dots,y_m$ are a subset of these rows, hence $U(y_0),\dots,U(y_m)$ are linearly independent. Therefore the displayed positive dependence cannot have $m\leq n-1$. Hence $m=n$.
We now prove that the signs $s(y_0),\dots,s(y_n)$ alternate. Suppose instead that $s(y_j)=s(y_{j+1})$ for some $j\in\{0,\dots,n-1\}$. Let $c_r:=\lambda_r s(y_r)$, so
\begin{align*}
\sum_{r=0}^n c_rU(y_r)=0.
\end{align*}
Because every $n$ of the vectors $U(y_0),\dots,U(y_n)$ are linearly independent, this dependence is unique up to multiplication by a nonzero scalar.
For a Chebyshev system, the coefficients of the unique dependence among the $n+1$ ordered evaluation vectors have alternating signs. To verify this directly, define the ordered Haar determinant map on the ordered configuration set by
\begin{align*}
D(t_1,\dots,t_n):=\det(u_j(t_i))_{i,j=1}^n.
\end{align*}
The set $\{(t_1,\dots,t_n)\in[a,b]^n:t_1<\cdots<t_n\}$ is connected, and $D$ is continuous and never zero by the Haar determinant invertibility proved above. Hence $D$ has one fixed sign on this ordered configuration set, after possibly replacing $u_1$ by $-u_1$. Delete the $r$-th vector and expand the determinant of the resulting $n\times n$ matrix. Cramer's cofactor formula gives
\begin{align*}
\operatorname{sgn}(c_r)=\tau(-1)^r
\end{align*}
for one fixed sign $\tau\in\{-1,1\}$ and every $r\in\{0,\dots,n\}$. Since $\lambda_r>0$, this means
\begin{align*}
s(y_r)=\operatorname{sgn}(c_r)=\tau(-1)^r.
\end{align*}
Thus the signs alternate, contradicting $s(y_j)=s(y_{j+1})$. Hence $y_0<\cdots<y_n$ is the required alternating chain.
[/proof][/step]