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