[guided]The delicate point is not pointwise convergence of the substituted series, but the legitimacy of collecting the infinitely many power series that arise from the powers of $G$. We first make the substitution uniformly small. Since $G$ is continuous at $0$ and $G(0)=0$, choose $s_1\in(0,s)$ and a number $\eta\in(0,\rho)$ such that
\begin{align*}
|G(\zeta)|\leq \eta
\end{align*}
for every $\zeta\in B(0,s_1)$. Define the map $H:B(0,s_1)\to\mathbb{C}$ by
\begin{align*}
H(\zeta):=\sum_{m=0}^{\infty}b_mG(\zeta)^m.
\end{align*}
For each $\zeta\in B(0,s_1)$, the inequality $|G(\zeta)|\leq\eta<\rho$ places $w_0+G(\zeta)$ inside the disk on which the power series for $h$ converges. Therefore
\begin{align*}
H(\zeta)=h(w_0+G(\zeta)).
\end{align*}
Now we justify why $H$ has a power series in $\zeta$. For each fixed $m\geq0$, the function $\zeta\mapsto G(\zeta)^m$ is a finite product of power-series functions, so repeated use of the Cauchy product theorem for absolutely convergent power series gives a convergent power series representation on $B(0,s_1)$. To sum over all $m$, we need uniform control. Since the power series for $h$ converges for every complex number of modulus less than $\rho$ and $\eta<\rho$, the majorant series
\begin{align*}
\sum_{m=0}^{\infty}|b_m|\eta^m
\end{align*}
converges. Also, for every $\zeta\in B(0,s_1)$,
\begin{align*}
|b_mG(\zeta)^m|\leq |b_m|\eta^m.
\end{align*}
The [Weierstrass M-test](/theorems/264) therefore gives uniform convergence of
\begin{align*}
\sum_{m=0}^{\infty}b_mG(\zeta)^m
\end{align*}
on $B(0,s_1)$. A locally uniformly convergent sum of power-series functions is represented by a power series on a sufficiently small disk about $0$; hence there are $s_2\in(0,s_1)$ and a coefficient sequence $(d_n)_{n=0}^{\infty}$ in $\mathbb{C}$ such that
\begin{align*}
H(\zeta)=\sum_{n=0}^{\infty}d_n\zeta^n
\end{align*}
for every $\zeta\in B(0,s_2)$. Finally, putting $\zeta=z-z_0$ gives, for every $z\in B(z_0,s_2)$,
\begin{align*}
(h\circ g)(z)=h(g(z))=H(z-z_0)=\sum_{n=0}^{\infty}d_n(z-z_0)^n.
\end{align*}
This is a convergent power series expansion of $h\circ g$ near $z_0$.[/guided]