Here is the construction in the case of limits.
A diagram $(X, a) : \mathsf{J} \to \int F$ consists of a diagram $X = \Pi \cdot (X, a) : \mathsf{J} \to \mathsf{C}$ along with a cone $a : * \to F\cdot X$ in $\mathsf{Set}$. Suppose that $X : \mathsf{J} \to \int F \to \mathsf{C}$ has a limit cone $\eta : \lim X \to X$ and that $F(\eta) : F(\lim X) \to F \cdot X$ is also a limit cone.
We'll show that if $\eta$ has a lift then the lift is unique. Suppose that $\eta$ lifts to a cone $\tilde{\eta} : z \to (X, a)$. Since $\Pi$ acts as the identity on arrows we must have $\tilde{\eta}_{j} = \eta_{j}$ for all $j$ in $\mathsf{J}$. So we must have $\Pi(z) = \lim X$, meaning that $z$ is of the form $(\lim X, x)$, where $x$ is an element of $F(\lim X)$. Since $\tilde{\eta} : (\lim X, x) \to (X, a)$ is a cone in $\int F$ we must have $F(\eta_{j})(x) = a_{j}$ for all $j \in \mathsf{J}$. And since $F(\eta)$ is a limit cone there is a unique element $x$ of $F(\lim X)$ satisfying these equations, so there is at most one lift of $\eta : \lim X \to X$ to a cone in $\int F$.
So now to show that $\Pi$ strictly creates limits we just have to check that this $\tilde{\eta} : (\lim X, x) \to (X, a)$ is a cone in $\int F$ and that it is limiting. I'll leave it to you to do the checking.
Just to sum up the findings in the comments, we have
Theorem $\mathbf{\mathsf B}G \hookrightarrow \mathbf{\mathsf G}$ is an equivalence for every connected groupoid $\mathbf{\mathsf G}$ if and only if the axiom of choice holds.
All of this is over ZF. It can be done in slightly weaker systems, but whatever.
As @Max notes, we have
Lemma $\mathbf{\mathsf B}G \hookrightarrow \mathbf{\mathsf G}$ is an equivalence for every connected groupoid $\mathbf{\mathsf G}$ if and only if for every collection of nonempty sets $(X_i)_{i \in I}$, such that $X_i \simeq X_j$ for all $i, j \in I$, there is a choice function $I \to \bigcup_{i \in I} X_i$.
Proof.
Assume that $\mathbf{\mathsf B}G \hookrightarrow \mathbf{\mathsf G}$ is an equivalence for every connected groupoid $\mathbf{\mathsf G}$. Let $(X_i)_{i \in I}$ be a collection of nonempty sets all with the same cardinality. Consider the groupoid $\mathbf{\mathsf G}$ whose objects are $(X_i)_{i \in I}$ and let $\hom(X_i, X_j)$ be the set of bijections from $X_i$ to $X_j$.
If $I$ is empty, there's a trivial choice function $I \to \bigcup_{i \in I} X_i$ (namely the identity, since both these sets are the empty set). So from here on, assume $I$ is nonempty. $\mathbf{\mathsf G}$ is then connected since it is inhabited and any two objects are connected by a morphism. So by hypothesis, the inclusion $\mathbf{\mathsf B}G \hookrightarrow \mathbf{\mathsf G}$ is an equivalence, so in particular, we have a natural (in $X \in \mathbf{\mathsf G}$) isomorphism $\alpha_X : X_{i_0} \to X$, where $X_{i_0}$ is the image of $\epsilon$ in the inclusion $\mathbf{\mathsf B}G \hookrightarrow \mathbf{\mathsf G}$. Then since $X_{i_0}$ is nonempty, there exists $x_0 \in X_{i_0}$. $i \mapsto \alpha_{X_i}(x_0)$ is then our desired choice function.
Conversely, suppose that for every collection of nonempty sets $(X_i)_{i \in I}$, such that $X_i \simeq X_j$ for all $i, j \in I$, there is a choice function $I \to \bigcup_{i \in I} X_i$. Following your approach, we can define a functor $\mathbf{\mathbf{\mathsf G} \to \mathsf B}G$ whose value at any object is $\epsilon$. As noted, the morphisms are trickier. We can fix an object $X_0 \in \mathbf{\mathsf G}$ (since $\mathbf{\mathsf G}$ is connected, it's inhabited). Then each set $\hom(X_0, X)$ is inhabited (by assumption of connectedness) and they are all bijective with each other: $\hom(X_0, X) \simeq \hom(X_0, Y)$ via postcomposition with a bijection $X \to Y$. So by hypothesis, we have a choice function $\alpha_X \in \hom(X_0, X)$.
We can use $\alpha$ to define our functor on morphisms in $\mathbf{\mathsf G}$. As you said, choosing $f \mapsto \alpha_Y^{-1} \circ f \circ \alpha_X$ works. Functorality follows easily. The fact that this is our inverse equivalence is a little harder, but not too difficult.
It turns out that the weaker form of choice used above is equivalent to the full axiom of choice. The reference for this is Rudin and Rudin's Equivalents of the Axiom of Choice, II. Specifically, AC 7 is (essentially) our version of AC.
Lemma The axiom of choice is equivalent to the statement that for every collection of nonempty sets $(X_i)_{i \in I}$, such that $X_i \simeq X_j$ for all $i, j \in I$, there is a choice function $I \to \bigcup_{i \in I} X_i$.
Proof.
Assuming the axiom of choice, proving the statement is trivial, so we'll focus on the other direction. Assume that for every collection of nonempty sets $(X_i)_{i \in I}$, such that $X_i \simeq X_j$ for all $i, j \in I$, there is a choice function $I \to \bigcup_{i \in I} X_i$.
The case $I = \emptyset$ is easy (as usual the identity function works as a choice function), so take $I$ to be nonempty.
Consider the set $Y := (\bigcup_{i \in I} X_i)^\omega$, that is, the set of functions from the natural numbers to the union of the $X_i$. We want to prove that this is bijective with $Y \times X_i$. For one direction, we have an injection $Y \to Y \times X_i$ which pairs up $y \in Y$ with a fixed element of $X_i$ (which exists since $X_i$ is non-empty). For the other direction, consider the map $Y \times X_i \to Y$ which takes $(f, x)$ to the function $g(0) = x$, $g(n + 1) = f(n)$. This is injective since we can recover the original function (via $g(n + 1)$) and the point $x$ (via $g(0)$). So by the Cantor-Schoeder-Berstein theorem, $Y \times X_i$ is bijective with $Y$. Hence, for $i, j \in I$ $Y \times X_i$ is bijective with $Y \times X_j$. Each of these sets is nonempty since we can take the constant function at some element of $\bigcup_{i \in I} X_i$ (which is nonempty because $I$ is nonempty and each $X_i$ is nonempty). So, we can apply our statement and get a choice function for $(Y \times X_i)_{i \in I}$. Composing with the projection $Y \times X_i \to X_i$, we get a choice function for $(X_i)_{i \in I}$.
Many experts are of the opinion that without the axiom of choice, a more appropriate notion of functor is an anafunctor. An anafunctor is essentially allowed to map objects "up to isomorphism". For example, to have an inverse anafunctor equivalence, we'd only need an essentially surjective, fully faithful functor between the categories, which is the "right" notion of equivalence of categories.
Best Answer
A natural transformation (isomorphism) is a morphism (isomorphism) between functors, so, first of all, you have to understand which functors are on the both sides of the natural isomorphism. There is $Cone(-,F)\colon C^{op}\to Set$ on the right side, because you are asked to prove naturality in $X$. The functor on the left side must have the same "type" $C^{op}\to Set$. An action on objects of this functor is given by formula $$X \mapsto \lim_i Hom_C (X, F-),$$ hence it remains to give an action on morphism. Given $f\colon Y \to X$ you have to define an arrow $$\lim_i Hom_C (f, F-)\colon\lim_i Hom_C (X, F-)\to\lim_i Hom_C (Y, F-).$$ It can be done using the universal property. The fact that for every $i\in Ob I$ $Hom_C(-,F(i))$ is contravariant in the first argument will also help you.
Thereafter you will be able to check the naturality of the isomorphism in the usual way.