[guided]We split the integral according to the three regions where different information is available. The set $E\setminus A_r$ is the tail, and the hypothesis says $g$ has small integral there. The set $B_{n,k,r}$ is the exceptional part inside $A_r$, where we do not have a pointwise small bound for $|f_n-f|$ but we do know that $g$ has small integral. The remaining set $A_r\setminus B_{n,k,r}$ is the good part, where the difference $|f_n-f|$ is uniformly small.
The sets involved are measurable: $A_r\in\mathcal E$ by hypothesis, $B_{n,k,r}\in\mathcal E$ by hypothesis, and therefore $E\setminus A_r$ and $A_r\setminus B_{n,k,r}$ are measurable because $\mathcal E$ is a $\sigma$-algebra. They are pairwise disjoint, and since $B_{n,k,r}\subset A_r$, their union is exactly $E$. Hence the additivity of the non-negative integral over disjoint measurable sets yields
\begin{align*}
\int_E |f_n(x)-f(x)|\,d\mu(x) = \int_{E\setminus A_r} |f_n(x)-f(x)|\,d\mu(x) + \int_{B_{n,k,r}} |f_n(x)-f(x)|\,d\mu(x) + \int_{A_r\setminus B_{n,k,r}} |f_n(x)-f(x)|\,d\mu(x).
\end{align*}
This is the structural point of the proof: each of the three summands will be bounded by a specified fraction of $2^{-k}$.[/guided]