Firstly, note that, given $(X,x_{0})\in \operatorname {\mathrm{Obj}}(\mathsf{Sets}_{*})$, the map
\[ \rho ^{\mathsf{Sets}_{*},\lhd }_{X} \colon X \to X\lhd S^{0} \]
is indeed a morphism of pointed sets as we have
\begin{align*} \rho ^{\mathsf{Sets}_{*},\lhd }_{X}(x_{0}) & = x_{0}\lhd 1\\ & = x_{0}\lhd 0.\end{align*}
Next, we claim that $\rho ^{\mathsf{Sets}_{*},\lhd }$ 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 hence indeed commutes, showing $\rho ^{\mathsf{Sets}_{*},\lhd }$ to be a natural transformation. This finishes the proof.