When skimming through the encyclopaedia of distances one finds that the authors call
\begin{equation}
d(A,B) = \frac{|A \vartriangle B|}{|A \cup B|} = \frac{|A \setminus B| + |B \setminus A|}{|A \cup B|} = \frac{|A \cup B| - |A \cap B|}{|A \cup B|}
\end{equation}
the "Tanimoto/ Steinhaus distance" which upon googling yields the wikipedia entry on the Jaccard index. Going through the references therein, it turns out in the past there have been articles/letters written, whose sole content was to prove the triangle inequality. One of the earlier such examples is somewhat similar to mine given above (algebraic and tedious) and even state "We have not yet found a simpler or more elegant proof of this theorem based on the theorems of set-algebra". But less than one year later, Geoffrey Gilbert, interpreting this as an ask for a simpler proof, gives a very nice short proof like follows:
For three sets $S_1, S_2, S_3$ he defines $V := S_1 \cap S_2 \cap S_3$, $U:= S_1 \cup S_2 \cup S_3$ and
$T_k := (S_k \setminus (S_i \cup S_j)) \cup ((S_i \cap S_j) \setminus V) \quad k\neq i, i\neq j, k\neq i \text{ and } i,j,k \in \{ 1,2,3\} $
By observation now (it helps to have the Venn diagram drawn out, as in the letter by Gilbert) for any $i,j$:
\begin{equation}
\begin{split}
\frac{|T_1| + |T_2| + |T_3|}{|U|} &= 1- \frac{|V|}{|U|} \geq 1- \frac{|S_i \cap S_j|}{|S_i \cup S_j|} = d(S_i, S_j) \\ &= \frac{|S_i \vartriangle S_j|}{|S_i \cup S_j|} \geq \frac{|T_i| + |T_j|}{|S_i \cup S_j|} \geq \frac{|T_i| + |T_j|}{|U|}
\end{split}
\end{equation}
Then the triangle inequality follows immediately
\begin{equation}
d(S_1, S_2) + d(S_2, S_3) \geq \frac{|T_1| + 2|T_2| + |T_3|}{|U|} \geq \frac{|T_2|}{|U|} + d(S_1, S_3) \geq d(S_1, S_3).
\end{equation}
So apparently the proof boils down to finding a convenient partition of the Venn diagram, i.e. having the idea of defining $T_k$ which partition the disjoint unions of the $S_i$ in a nice way.