What you're missing is the
if we imagine
part you wrote. Because if we suppose that the truth set of $A(x)$ is the empty set, then yes, we get that $\neg A(x)$ corresponds to $U$ and hence a stronger implication. But in general, and the general case is the one we must assume in the proof, we can have that $A \neq U$ but still $A \neq \emptyset$, so the truth set of $\neg A(x)$ is only non-empty and not all of the universe, and thus we only get $(∃x) \ldots$ and not $(\forall x) \ldots$.
Edit:
The use of $\Rightarrow$ instead of $\Leftrightarrow$ that was pointed out in a comment actually highlights the source of the confusion here. The point is that it is not just a difference in symbols that can be ignored as you said.
To prove an equivalence $\equiv$ we find a chain of conversion steps that each apply in both directions, $\Leftrightarrow$, so that we can read the proof backwards and it still works. In the proof you showed, every conversion step also holds from the lower line to the upper line, so we have not only $\Rightarrow$ but $\Leftrightarrow$, and that is what we need for a proof of equivalence. If we don't have $\Leftrightarrow$ all the way through, we didn't show equivalence, we only showed logical implication.
For comparison, for your other formula, we have
The sentence ¬(∀x)A(x) is true in U
⇔ (∀x)A(x) is false in U
⇔ the truth set of A(x) is not the universe U
⇔ the truth set of ¬A(x) is non-empty
⇐ the truth set of ¬A(x) is the universe
⇔ (∀x)¬A(x) is true in U.
Note how the second-to-last step only works in the direction from the lower line to the upper line: If the truth set of $\neg A(x)$ is the universe, then it is also non-empty. The above is a proof that $\forall x \neg A(x)$ logically implies $\neg \forall x A(x)$; i.e. in the special case where $A$ holds for none of the elements from the universe, its truth set is not the universe.
But the second-to-last step does not work in the direction from the upper line to the lower line, because "non-empty" does not imply "the universe". So we don't have a chain of $\Leftrightarrow$'s, and that's why these formulas are not equivalent: ¬(∀x)A(x) $\not \equiv$ (∀x)¬A(x).