Note that $\lim_U (x) \in\overline{x(\Bbb N)}$, hence $|\lim_U x|≤\|x\|$ for all $x\in\ell^\infty(\Bbb N)$ and $\lim_U$ is a bounded linear map, hence continuous.
You may alternatively view $\lim_U$ as a point evaluation map, which is also necessarily continuous.
First remember that if $x\in \ell^\infty(\Bbb N)$, then $x:\Bbb N\to \overline{x(\Bbb N)}\subset\Bbb C$ is valued in a compact set (as $x$ is bounded) and hence factors over the Stone-Cech compactification, that is there is a map $\beta x:
\beta\Bbb N\to \Bbb C$ so that $x = \beta x\circ\iota$ where $\iota$ is the inclusion $\iota:\Bbb N\to \beta\Bbb N$ into the Stone-Cech compactification. (All this can be expressed in a commutative diagram, but I don't know how to do commutative diagrams in MathJax.)
We may thus identify $\ell^\infty(\Bbb N)$ with $C(\beta\Bbb N)$ (if you give the space on the right the uniform norm these are then the same as normed vector spaces). Now the thing is that $\beta\Bbb N$ is compact and hence every ultra-filter converges. Thus $\lim_U$ applied to a function of $C(\beta\Bbb N)$ is nothing other than the point evaluation of that function at the limit of $U$, which defines a continuous functional on $C(\beta \Bbb N)$.