Assume $ \Sigma $ is a partially ordered set with the $\subseteq $ relation.
Assume $C \subseteq \Sigma$ is a chain. Then we can deduce that $ b = \bigcup_{a\in C}^{}a$, is an upper bound for the chain $C$. And this would be true for any chain in $\Sigma$.
I'm assuming I have some conceptual misunderstanding. Because from what I know we should prove that the upper bound $b$ is a member of $\Sigma$. But since the upper bound $b$ equals $ \bigcup_{a\in C}^{}a$, doesn't it mean that the upper bound is a member of the chain which is a subset of $\Sigma$. Meaning that $b\in \Sigma$? Why should I have to prove that the upper bound b is a member of $\Sigma$?