Firstly, note that, given $\webleft (X,x_{0}\webright )\in \text{Obj}\webleft (\mathsf{Sets}_{*}\webright )$, the map
\[ \lambda ^{\mathsf{Sets}_{*},\lhd }_{X} \colon S^{0}\lhd X \to X \]
is indeed a morphism of pointed sets, as we have
\[ \lambda ^{\mathsf{Sets}_{*},\lhd }_{X}\webleft (0\lhd x_{0}\webright )=x_{0}. \]
Next, we claim that $\lambda ^{\mathsf{Sets}_{*},\lhd }$ is a natural transformation. We need to show that, given a morphism of pointed sets
\[ f\colon \webleft (X,x_{0}\webright )\to \webleft (Y,y_{0}\webright ), \]
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.