[guided]The last point is a multiplicity argument, not just a pointwise implication. The previous step proves the following for any analytic branch: if
\begin{align*}
E_j(\lambda) = E_0 + \lambda E_{j,1} + O(\lambda^2)
\end{align*}
and if $\psi_j(0) \in \mathcal E_0$ is its initial eigenvector, then
\begin{align*}
P_0VP_0\psi_j(0) = E_{j,1}\psi_j(0).
\end{align*}
This proves that each branch derivative $E_{j,1}$ is an eigenvalue of the compression, but it does not by itself prove that all eigenvalues of the compression occur.
The missing ingredient is supplied by the analytic isolated-cluster hypothesis. The standard analytic perturbation theorem for isolated self-adjoint type-A families says that, after possibly shrinking $\lambda_0>0$, the spectral cluster issuing from the isolated eigenvalue $E_0$ admits exactly $m=\dim\mathcal E_0$ analytic eigenvalue branches, counted with multiplicity, and corresponding analytic eigenvector branches whose initial values can be chosen to form a basis of $\mathcal E_0$. Its hypotheses are satisfied here because $H(\lambda)$ is assumed analytic of type A near $0$, the operators are self-adjoint for real $\lambda$ sufficiently close to $0$, and $E_0$ is isolated with finite-dimensional eigenspace.
Choose such branches and write their initial vectors as $u_j:=\psi_j(0)$ for $j \in \{1,\dots,m\}$. Then $\{u_1,\dots,u_m\}$ is a basis of $\mathcal E_0$, and the branchwise first-order equation gives
\begin{align*}
P_0VP_0u_j = E_{j,1}u_j
\end{align*}
for every $j \in \{1,\dots,m\}$. Thus the matrix of $P_0VP_0$ in the basis $\{u_1,\dots,u_m\}$ is diagonal with diagonal entries $E_{1,1},\dots,E_{m,1}$. Hence the eigenvalues of $P_0VP_0$ counted with multiplicity are exactly the first-order coefficients of the analytic eigenvalue branches. This proves both inclusions: every branch derivative is an eigenvalue of the compression, and every eigenvalue of the compression is realized by some branch derivative.[/guided]