It suffices to show that if $K_i\to M_i\to N_i$ is exact at $M_i$ for each $i$ (and the appropriate squares commute), then $\varinjlim K_i\to \varinjlim M_i\to \varinjlim N_i$ is exact at $\varinjlim M_i$.
(To get that $\varinjlim$ sends short exact sequences to short exact sequences from this, simply apply the argument to $0\to K_i\to M_i$, exact at $K_i$; to $K_i\to M_i\to N_i$; and then to $M_i\to N_i\to 0$).
Call the first map $f_i$ (with induced map of limits $f$), the second $g_i$ (with induced map $g$); use $\kappa$, $\mu$, and $\nu$ for the structure maps.
Given $[(k,i)]$, we have $g(f([(k,i)])) = g([f_i(k),i]) = [g_i(f_i(k)),i] = [0,i]$, so the composition is trivial. That is, $\mathrm{Im}(f)\subseteq \mathrm{Ker}(g)$.
Now assume that $g([(m,i)]) = [(0,j)]$. Then there exists $t\geq i$ such that $\nu_{it}(g_i(m)) = 0$; hence $g_t(\mu_{it}(m)) = 0$, so by exactness of the original diagram we know that there exists $k\in K_t$ such that $f_t(k) = \mu_{it}(m)$. Therefore,
$$f([k,t]) = [(f(k),t)] = [(\mu_{it}(m),t)] = [(m,i)],$$ so $[(m,i)]$ lies in the image of $f$. Thus, $\mathrm{Im}(f)\supseteq \mathrm{Ker}(g)$, proving equality.
Now, this proves that $\varinjlim$ is exact; as to "why" it is exact (is there some deep why it is exact)? I don't know if I can answer.
You are not using the function $π$ properly. $π((n_{1},n_{2},…,n_{j},0,0,0,…))=n_{1}+n_{2}+⋯+n_{j}$.
The function $π$ is simply saying that you sum all the nonzero components in the tuple as above. The reason why you can only have finitely many nonzero elements is that if you had an infinite number of nonzero elements the sum is not defined (you do not need to worry about convergence!). The statement $(a)$ is just saying that the external direct sum is isomorphic to the internal direct sum.
Best Answer
Your approach is fine. In general though, if you want to show that two sets $A$ and $B$ are equal, I would suggest showing that $x \in A \implies x \in B$ and then that $x \in B \implies x \in A$. This leads to cleaner arguments, and reduces the chance of error. I'll show you what I mean in this case.
The reason I prefer this is that it argues in a linear fashion; each statement follows the previous ones. When - as you did in your proof - you rearrange definitions of sets to make them equal, it requires reading back and forth a few times, which I think makes for a less pleasing argument.