Firstly, note that, given $(X,x_{0})\in \operatorname {\mathrm{Obj}}(\mathsf{Sets}_{*})$, the map
\[ \lambda ^{\mathsf{Sets}_{*},\lhd }_{X} \colon S^{0}\lhd X \to X \]
is indeed a morphism of pointed sets, as we have
\[ \lambda ^{\mathsf{Sets}_{*},\lhd }_{X}(0\lhd x_{0})=x_{0}. \]
Next, we claim that $\lambda ^{\mathsf{Sets}_{*},\lhd }$ is a natural transformation. We need to show that, given a morphism of pointed sets
\[ f\colon (X,x_{0})\to (Y,y_{0}), \]
the diagram
commutes. Indeed, this diagram acts on elements as and and hence indeed commutes, showing $\lambda ^{\mathsf{Sets}_{*},\lhd }$ to be a natural transformation. This finishes the proof.