[guided]The endpoint $p=\infty$ needs a separate compactness argument because Rellich-Kondrachov in the form used above was invoked only for $1\le p<\infty$. Suppose the estimate fails. Then there are functions $v_j\in X_\infty$ such that
\begin{align*}
\sum_{\ell=0}^{m-1} |v_j|_{W^{\ell,\infty}(U)}=1
\end{align*}
and
\begin{align*}
|v_j|_{W^{m,\infty}(U)}\le \frac{1}{j}.
\end{align*}
These two bounds imply that $(v_j)$ is bounded in $W^{m,\infty}(U)$.
Because $U$ is a bounded Lipschitz domain, use the bounded extension property of Lipschitz domains to choose a [bounded linear operator](/page/Bounded%20Linear%20Operator)
\begin{align*}
E: W^{m,\infty}(U)\to W^{m,\infty}(\mathbb{R}^n).
\end{align*}
Choose $R>0$ with $\overline U\subset B(0,R)$ and set $V:=B(0,R)$. This choice matters: $V$ is convex, so a $W^{1,\infty}(V)$ function has a representative that is globally Lipschitz on $\overline V$. For each multi-index $\beta$ with $|\beta|\le m-1$, the functions $D^\beta E v_j$ are uniformly bounded in $W^{1,\infty}(V)$, because their first weak derivatives are derivatives of $E v_j$ of order at most $m$. Hence the representatives of $D^\beta E v_j$ are uniformly bounded and equicontinuous on the compact set $\overline V$.
The Arzela-Ascoli compactness criterion for uniformly bounded equicontinuous families on compact metric spaces gives a uniformly convergent subsequence for each fixed $\beta$. Since there are only finitely many multi-indices with $|\beta|\le m-1$, a diagonal extraction gives one subsequence, still denoted $(v_j)$, and functions $w_\beta\in C(\overline V)$ such that
\begin{align*}
D^\beta E v_j\to w_\beta \quad \text{uniformly on } \overline V
\end{align*}
for every $|\beta|\le m-1$.
Let $v:=w_0|_U$. We now identify the other limits as weak derivatives of $v$. For every test function $\varphi\in C_c^\infty(U)$ and every $|\beta|\le m-1$, [integration by parts](/theorems/2098) in the distributional sense gives the identity defining $D^\beta v$ after passing to the uniform limit. Uniform convergence on $\overline V$ also gives convergence in $L^\infty(U)$ after restricting the chosen representatives to $U$. Therefore $w_\beta|_U=D^\beta v$ in $\mathcal D'(U)$ for every $|\beta|\le m-1$, so $v\in W^{m-1,\infty}(U)$ and $v_j\to v$ in $W^{m-1,\infty}(U)$.
For every multi-index $\alpha$ with $|\alpha|=m$, the bound $|v_j|_{W^{m,\infty}(U)}\le 1/j$ implies
\begin{align*}
\|D^\alpha v_j\|_{L^\infty(U)}\to 0.
\end{align*}
Passing to distributions gives $D^\alpha v=0$ in $\mathcal D'(U)$ for every $|\alpha|=m$. Since $U$ is connected, the connected-domain polynomial characterization proved above gives a polynomial $P\in\mathcal P_{m-1}$ such that $v=P$ $\mathcal L^n$-a.e. on $U$.
The uniform convergence $v_j\to v$ on $B$ passes the moments to the limit:
\begin{align*}
\int_B P(x)r_i(x)\,d\mathcal L^n(x)=0
\end{align*}
for every $1\le i\le N$. Writing $P=\sum_{i=1}^N c_i r_i$, this is the linear system $Gc=0$. Since the Gram matrix $G$ is invertible, $c=0$, hence $P=0$ and $v=0$.
Finally, convergence in $W^{m-1,\infty}(U)$ gives convergence of the lower-order seminorms, so
\begin{align*}
\sum_{\ell=0}^{m-1} |v|_{W^{\ell,\infty}(U)}=\lim_{j\to\infty}\sum_{\ell=0}^{m-1} |v_j|_{W^{\ell,\infty}(U)}=1.
\end{align*}
This contradicts $v=0$. Therefore the endpoint estimate holds.[/guided]