I'm currently reading the proof of basic composition from the paper https://link.springer.com/content/pdf/10.1007/11761679_29.pdf. In particular, Theorem 1 in Section 2.2.
The proof starts as follows:
My question is why we can assume the set $S$ is in the form $S_1\times S_2\times\ldots\times S_T$. In general, I remember that for differential privacy, we need to prove the inequality for all sets $S$.
I don't believe the statement holds without the assumption, and I don't think we proving it for this case implies the general case (there are counter examples even in the discrete case).