[step:Prove the inequality for smooth positive data with a smooth Brenier map]Assume first that $\rho_0,\rho_1\in C^\infty(\mathbb R^n;(0,\infty))$ are probability densities with finite second moment, that the Brenier map $T:\mathbb R^n\to\mathbb R^n$ is continuously differentiable, and that the Monge-Ampere change-of-variables identities below hold for $\mathcal L^n$-a.e. $x\in\mathbb R^n$.
By hypothesis, the Jacobian matrix $JT_x$ is symmetric positive semidefinite for $\mathcal L^n$-a.e. $x\in\mathbb R^n$.
For $t\in[0,1]$, define
\begin{align*}
T_t:\mathbb R^n\to\mathbb R^n,\qquad x\mapsto (1-t)x+tT(x).
\end{align*}
At points of differentiability of $T$, its Jacobian matrix is
\begin{align*}
JT_{t,x}=(1-t)I_n+tJT_x.
\end{align*}
Since $JT_x$ is positive semidefinite, $JT_{t,x}$ is also positive semidefinite.
Let $\rho_t:\mathbb R^n\to[0,\infty)$ denote the density of $\mu_t=(T_t)_\#\mu_0$. The Monge-Ampere change-of-variables formula for the map $T_t$ gives, for $\mathcal L^n$-a.e. $x\in\mathbb R^n$,
\begin{align*}
\rho_t(T_t(x))\det JT_{t,x}=\rho_0(x).
\end{align*}
Define the determinant radii
\begin{align*}
r_t:\mathbb R^n\to[0,\infty),\qquad x\mapsto \bigl(\det JT_{t,x}\bigr)^{1/n},
\end{align*}
and
\begin{align*}
r_1:\mathbb R^n\to[0,\infty),\qquad x\mapsto \bigl(\det JT_x\bigr)^{1/n}.
\end{align*}
Because $\rho_0$ is strictly positive and the transport is between smooth positive densities in the present reduction, these determinant radii are positive for $\mathcal L^n$-a.e. $x$ relevant to the formula.
The function $h_t:\mathbb R^n\to(-\infty,+\infty]$ defined by $h_t(y)=U(\rho_t(y))$ is Borel because $\rho_t$ is a Borel density and $U$ is convex, hence continuous on $(0,\infty)$ and finite at $0$ by hypothesis. Applying the assumed change-of-variables formula for $T_t$ to the positive and negative parts of $h_t$ whenever the integral is finite, and otherwise in the extended nonnegative sense after decomposition, gives
\begin{align*}
\mathcal U[\mu_t]=\int_{\mathbb R^n}U(\rho_t(y))\,d\mathcal L^n(y).
\end{align*}
Using the substitution $y=T_t(x)$ on the full-measure set from the theorem statement and the Jacobian factor $\det JT_{t,x}=r_t(x)^n$, this becomes
\begin{align*}
\mathcal U[\mu_t]=\int_{\mathbb R^n}U(\rho_t(T_t(x)))r_t(x)^n\,d\mathcal L^n(x).
\end{align*}
The Monge-Ampere identity rewrites the density as
\begin{align*}
\rho_t(T_t(x))=\frac{\rho_0(x)}{r_t(x)^n}.
\end{align*}
Therefore
\begin{align*}
\mathcal U[\mu_t]=\int_{\mathbb R^n}r_t(x)^nU\left(\frac{\rho_0(x)}{r_t(x)^n}\right)\,d\mathcal L^n(x).
\end{align*}
Introduce the measurable function
\begin{align*}
a_0:\mathbb R^n\to(0,\infty),\qquad x\mapsto \rho_0(x)^{-1/n}.
\end{align*}
By the definition of $G_U$,
\begin{align*}
\rho_0(x)G_U(a_0(x)r_t(x))=r_t(x)^nU\left(\frac{\rho_0(x)}{r_t(x)^n}\right).
\end{align*}
Thus
\begin{align*}
\mathcal U[\mu_t]=\int_{\mathbb R^n}\rho_0(x)G_U(a_0(x)r_t(x))\,d\mathcal L^n(x).
\end{align*}
Let $\operatorname{id}_{\mathbb R^n}:\mathbb R^n\to\mathbb R^n$ denote the identity map, $x\mapsto x$. At $t=0$, $T_0=\operatorname{id}_{\mathbb R^n}$ and $r_0=1$, so
\begin{align*}
\mathcal U[\mu_0]=\int_{\mathbb R^n}\rho_0(x)G_U(a_0(x))\,d\mathcal L^n(x).
\end{align*}
At $t=1$, the same computation for $T$ gives
\begin{align*}
\mathcal U[\mu_1]=\int_{\mathbb R^n}\rho_0(x)G_U(a_0(x)r_1(x))\,d\mathcal L^n(x).
\end{align*}[/step]