Your proof of boundedness seems circular. That for $u \in A$ the norm $\left\lVert u \right\rVert$ is finite, is what one needs to prove. We can show that
$$
\newcommand{\norm}[1]{\left\lVert#1\right\rVert}
\norm{u}_{L^{2}(\Omega)} =
\left( \int_{\Omega} |u(x)|^{2}dx \right)^{\frac{1}{2}} < \infty
$$
by bounding
$$
\norm{u}_{L^{2}(\Omega)}^{2} =
\int_{\Omega} |u(x)|^{2} dx
\leq |\int_{\Omega} u(x)^{2} dx|
\leq \int_{\Omega} \max{ \lbrace a^{2}, b^{2} \rbrace } dx
= C \mu(\Omega)
$$
That the set
$$
A = \lbrace u \in L^{2}(\Omega) : a \leq u(x) \leq b \text{ a.e.} \rbrace
$$
is closed can be shown, perhaps more clearly, by using a contradiction.
Let $(u_{n})_{n} \subset A$ and $u_{n} \rightarrow u$ as $n \rightarrow \infty$ in $L^{2}$ norm. And suppose that $u \not\in A$, meaning that there exists a subset $B \subset \Omega$ with $\mu(B) > 0$ where, without loss of generality, $u(x) > b$. Then, for some $\epsilon > 0$ and since $u_{n} \in A$
\begin{align*}
\norm{u - u_{n}}_{L^{2}(\Omega)}^{2}
&= \int_{\Omega} |u(x) - u_{n}(x)|^{2} dx \\
&= \int_{B} |
\underbrace{u(x)}_{> b + \epsilon} -
\underbrace{u_{n}(x)}_{\leq b}
|^{2} dx +
\underbrace{
\int_{\Omega \setminus B} |u(x) - u_{n}(x)|^{2} dx
}_\text{$u_{n} \rightarrow u$ in $L^{2}$ pointwise}
\\
&\geq \epsilon^{2} \mu(B) + 0 \\
&> 0
\end{align*}
which is a contradiction since $u_{n} \rightarrow u$ in $L^{2}$. Therefore $u \in A$.