[guided]We construct the concentrating measures by taking one fixed smooth probability density and squeezing it into smaller balls around the origin. Let $C_c^\infty(\mathbb R^n;[0,\infty))$ be the set of smooth compactly supported maps from $\mathbb R^n$ to $[0,\infty)$, and let $\operatorname{supp}\eta$ denote the closed support of $\eta$. Choose $\eta\in C_c^\infty(\mathbb R^n;[0,\infty))$ with total mass
\begin{align*}
\int_{\mathbb R^n}\eta(x)\,d\mathcal L^n(x)=1.
\end{align*}
For $\varepsilon\in(0,1)$, define $r_\varepsilon:\mathbb R^n\to[0,\infty)$ by
\begin{align*}
r_\varepsilon(x):=\varepsilon^{-n}\eta(x/\varepsilon).
\end{align*}
The factor $\varepsilon^{-n}$ is chosen exactly so that the mass stays equal to $1$ after the change of scale. Indeed, with $x=\varepsilon u$ and $d\mathcal L^n(x)=\varepsilon^n d\mathcal L^n(u)$,
\begin{align*}
\int_{\mathbb R^n}r_\varepsilon(x)\,d\mathcal L^n(x)=\int_{\mathbb R^n}\eta(u)\,d\mathcal L^n(u)=1.
\end{align*}
Define the Borel probability measure $\rho_\varepsilon$ by
\begin{align*}
\rho_\varepsilon(A):=\int_A r_\varepsilon(x)\,d\mathcal L^n(x)
\end{align*}
for every Borel set $A\subset\mathbb R^n$. Since $\eta$ has compact support, $r_\varepsilon$ has compact support as well. Compact support implies finite second moment, so $\rho_\varepsilon\in\mathcal P_2(\mathbb R^n)$.
Now define
\begin{align*}
I_\eta:=\int_{\mathbb R^n}\int_{\mathbb R^n}|u-v|^{-s}\eta(u)\eta(v)\,d\mathcal L^n(u)\,d\mathcal L^n(v).
\end{align*}
We need two facts about this number: it is finite and it is positive. For finiteness, choose $R>0$ with $\operatorname{supp}\eta\subset B(0,R)$ and write $M:=\|\eta\|_\infty$. The integrand is supported in $B(0,R)\times B(0,R)$ and is bounded by $M^2|u-v|^{-s}$ there. For fixed $u\in B(0,R)$, the substitution $z=u-v$ gives
\begin{align*}
\int_{B(0,R)}|u-v|^{-s}\,d\mathcal L^n(v)\le \int_{B(0,2R)}|z|^{-s}\,d\mathcal L^n(z).
\end{align*}
The last integral is finite exactly because $s<n$: the singularity $|z|^{-s}$ is locally integrable in $\mathbb R^n$ when the exponent is smaller than the dimension. Positivity holds because $\eta$ has mass $1$, so it is positive on a set of positive Lebesgue measure, and $|u-v|^{-s}>0$ away from the diagonal. The diagonal has zero $\mathcal L^n\otimes\mathcal L^n$ measure, so it cannot remove this positivity.
We next compute the energy. Since $\rho_\varepsilon$ is absolutely continuous with respect to $\mathcal L^n$, the product measure $\rho_\varepsilon\otimes\rho_\varepsilon$ gives the diagonal zero mass. Thus the assigned value $W(0)=-\infty$ does not create an atom of infinite contribution. The same local-integrability estimate used above shows that the integral across the diagonal is finite. Therefore
\begin{align*}
\mathcal E_W[\rho_\varepsilon]= -\frac{1}{2}\int_{\mathbb R^n}\int_{\mathbb R^n}|x-y|^{-s}r_\varepsilon(x)r_\varepsilon(y)\,d\mathcal L^n(x)\,d\mathcal L^n(y).
\end{align*}
Apply the change of variables $x=\varepsilon u$ and $y=\varepsilon v$. The two Lebesgue measures contribute a factor $\varepsilon^{2n}$, the two densities contribute a factor $\varepsilon^{-2n}$, and the kernel contributes a factor $\varepsilon^{-s}$. Hence
\begin{align*}
\mathcal E_W[\rho_\varepsilon]= -\frac{1}{2}\varepsilon^{-s}I_\eta.
\end{align*}
Taking $\varepsilon_k=1/k$ and $\rho_k=\rho_{\varepsilon_k}$ gives $\mathcal E_W[\rho_k]\to-\infty$, because $I_\eta>0$.
Finally we prove weak convergence to $\delta_0$. Let $\varphi:\mathbb R^n\to\mathbb R$ be bounded and continuous. Again using $x=\varepsilon u$,
\begin{align*}
\int_{\mathbb R^n}\varphi(x)\,d\rho_\varepsilon(x)=\int_{\mathbb R^n}\varphi(\varepsilon u)\eta(u)\,d\mathcal L^n(u).
\end{align*}
For each fixed $u$, continuity of $\varphi$ gives $\varphi(\varepsilon u)\to\varphi(0)$. The integrable dominating function is $\|\varphi\|_\infty\eta(u)$. The dominated convergence theorem gives
\begin{align*}
\int_{\mathbb R^n}\varphi(x)\,d\rho_\varepsilon(x)\to\int_{\mathbb R^n}\varphi(0)\eta(u)\,d\mathcal L^n(u)=\varphi(0).
\end{align*}
Since $\varphi(0)=\int_{\mathbb R^n}\varphi(x)\,d\delta_0(x)$, this is precisely weak convergence $\rho_\varepsilon\rightharpoonup\delta_0$ as Borel probability measures.[/guided]