[guided]We want to show that whenever $a\le b$, the order relation from $a$ to $b$ can be recovered by walking upward through cover relations. The natural measure of complexity is the size of the interval
\begin{align*}
[a,b]:=\{p\in P:a\le p\le b\}.
\end{align*}
This is finite because $P$ is finite, so induction on $|[a,b]|$ is legitimate.
Assume the desired assertion is known for all comparable pairs whose intervals have cardinality less than $N$, and let $a,b\in P$ satisfy $a\le b$ and $|[a,b]|=N$. If $a=b$, there is no cover chain to build, and this is exactly the equality case allowed in the statement. Now suppose $a<b$. If $a\lessdot b$, then the one-step sequence
\begin{align*}
a=a_0\lessdot a_1=b
\end{align*}
has the required form.
The only remaining case is that $a<b$ but $a$ is not covered by $b$. By definition, $a\lessdot b$ means that $a<b$ and there is no element strictly between them. Since $a<b$ holds but $a\lessdot b$ does not, there must exist an element $z\in P$ such that
\begin{align*}
a<z<b.
\end{align*}
This element splits the interval from $a$ to $b$ into two smaller intervals. Indeed, $[a,z]\subset [a,b]$, and $b\notin [a,z]$ because $z<b$, so
\begin{align*}
|[a,z]|<|[a,b]|=N.
\end{align*}
Similarly, $[z,b]\subset [a,b]$, and $a\notin [z,b]$ because $a<z$, so
\begin{align*}
|[z,b]|<N.
\end{align*}
Now the induction hypothesis applies to both smaller comparable pairs $a\le z$ and $z\le b$. Applied to $a\le z$, it gives an integer $r\ge 1$ and elements $a_0,\dots,a_r\in P$ satisfying
\begin{align*}
a=a_0\lessdot a_1\lessdot \cdots \lessdot a_r=z.
\end{align*}
Applied to $z\le b$, it gives an integer $s\ge 1$ and elements $b_0,\dots,b_s\in P$ satisfying
\begin{align*}
z=b_0\lessdot b_1\lessdot \cdots \lessdot b_s=b.
\end{align*}
The endpoint of the first chain is the starting point of the second chain, namely $z=a_r=b_0$. Therefore we concatenate the two chains while writing $z$ only once:
\begin{align*}
a=a_0\lessdot a_1\lessdot \cdots \lessdot a_r=b_0\lessdot b_1\lessdot \cdots \lessdot b_s=b.
\end{align*}
Every adjacent relation displayed is still a cover relation in $P$, so this is the required cover chain from $a$ to $b$. This completes the induction step.[/guided]