[step:Iterate between $r$ and $R$ to absorb the larger-radius energy]Set
\begin{align*}
A:=C_1\int_{B_R}|u-c|^p\,d\mathcal L^n+C_1R^n(R-r)^p.
\end{align*}
For every $r\le s<t<R$, the inclusions $B_t\subset B_R$ and the bound $t^n\le R^n$ give
\begin{align*}
\Phi(s)\le \theta\Phi(t)+\frac{A}{(t-s)^p}.
\end{align*}
Choose $q\in(\theta^{1/p},1)$, so that $\theta q^{-p}<1$, and define $\rho_k:=r+(R-r)(1-q^k)$ for $k\in\mathbb N$. Applying the preceding inequality with $s=\rho_k$ and $t=\rho_{k+1}$ gives
\begin{align*}
\Phi(\rho_k)\le \theta\Phi(\rho_{k+1})+A(R-r)^{-p}(1-q)^{-p}q^{-kp}.
\end{align*}
For each $k$, multiply this inequality by $\theta^k$. Summing the resulting inequalities from $k=1$ to $N$ yields
\begin{align*}
\sum_{k=1}^N\theta^k\Phi(\rho_k)\le \sum_{k=1}^N\theta^{k+1}\Phi(\rho_{k+1})+A(R-r)^{-p}(1-q)^{-p}\sum_{k=1}^N(\theta q^{-p})^k.
\end{align*}
After cancellation of the telescoping terms,
\begin{align*}
\theta\Phi(\rho_1)\le \theta^{N+1}\Phi(\rho_{N+1})+A(R-r)^{-p}(1-q)^{-p}\sum_{k=1}^N(\theta q^{-p})^k.
\end{align*}
Because $u\in W^{1,p}(B_R;\mathbb R^m)$, we have
\begin{align*}
\Phi(\rho_{N+1})\le \int_{B_R}|\nabla u|^p\,d\mathcal L^n<\infty.
\end{align*}
Since $0<\theta<1$, it follows that $\theta^{N+1}\Phi(\rho_{N+1})\to 0$ as $N\to\infty$. Hence
\begin{align*}
\Phi(\rho_1)\le C_2A(R-r)^{-p}
\end{align*}
for $C_2:=\theta^{-1}(1-q)^{-p}\sum_{k=1}^{\infty}(\theta q^{-p})^k$, which depends only on $p$ and $\theta$. Since $r<\rho_1$ and $B_r\subset B_{\rho_1}$,
\begin{align*}
\int_{B_r}|\nabla u|^p\,d\mathcal L^n\le \Phi(\rho_1)\le \frac{C_2C_1}{(R-r)^p}\int_{B_R}|u-c|^p\,d\mathcal L^n+C_2C_1R^n.
\end{align*}
Renaming $C:=C_1C_2$, and recalling that $C_1$ depends only on $n,p,\lambda,\Lambda$ while $C_2$ depends only on $p$ and $\theta$, we obtain a constant depending only on $n,p,\lambda,\Lambda$, hence also only on $n,m,p,\lambda,\Lambda$. This is the desired Caccioppoli estimate.[/step]