It is possible to prove, by studying the function $ f: x\mapsto 1-x^{2}\cot^{2}{x}-\frac{2 x^{2}}{3} $ on $ \mathcal{D}=\left]-\frac{\pi}{2},\frac{\pi}{2}\right[\setminus\left\lbrace 0\right\rbrace $, that for any $ x\in\mathcal{D} $, we have : $$ \left|1-x^{2}\cot^{2}{x}\right|\leq\frac{2x^{2}}{3} $$
Let $ n \in\mathbb{N}^{*} $, and $ k\leq n $. Setting $ x\leftarrow \frac{k\pi}{2n+1} $, we get : $$ \left|1-\frac{k^{2}\pi^{2}}{\left(2n+1\right)^{2}}\cot^{2}{\left(\frac{k\pi}{2n+1}\right)}\right|\leq\frac{2k^{2}\pi^{2}}{3\left(2n+1\right)^{2}} $$
Using the previous inequality, we can write the following : \begin{aligned} \left|\frac{1}{\left(2n+1\right)^{2}}\sum_{k=1}^{n}{\cot^{2}{\left(\frac{k\pi}{2n+1}\right)}}-\frac{1}{\pi^{2}}\sum_{k=1}^{n}{\frac{1}{k^{2}}}\right|&\leq\frac{1}{\pi^{2}}\sum_{k=1}^{n}{\frac{1}{k^{2}}\left|1-\frac{k^{2}\pi^{2}}{\left(2n+1\right)^{2}}\cot^{2}{\left(\frac{k\pi}{2n+1}\right)}\right|}\\ &\leq \frac{2n}{3\left(2n+1\right)^{2}}\underset{n\to +\infty}{\longrightarrow}0\end{aligned}
Thus, the sequence $ \left(\frac{1}{\left(2n+1\right)^{2}}\sum\limits_{k=1}^{n}{\cot^{2}{\left(\frac{k\pi}{2n+1}\right)}}\right)_{n\in\mathbb{N}^{*}} $ does converge and : $$ \lim_{n\to +\infty}{\frac{1}{\left(2n+1\right)^{2}}\sum_{k=1}^{n}{\cot^{2}{\left(\frac{k\pi}{2n+1}\right)}}}=\lim_{n\to +\infty}{\frac{1}{\pi^{2}}\sum_{k=1}^{n}{\frac{1}{k^{2}}}}=\frac{1}{6} $$
Hence : \begin{aligned}\lim_{n\to +\infty}{\frac{1}{n^{2}}\sum_{k=1}^{n}{\cot^{2}{\left(\frac{k\pi}{2n+1}\right)}}}&=\lim_{n\to +\infty}{\left(\frac{2n+1}{n}\right)^{2}\times\frac{1}{\left(2n+1\right)^{2}}\sum_{k=1}^{n}{\cot^{2}{\left(\frac{k\pi}{2n+1}\right)}}}\\ &=4\times\frac{1}{6}\\ \lim_{n\to +\infty}{\frac{1}{n^{2}}\sum_{k=1}^{n}{\cot^{2}{\left(\frac{k\pi}{2n+1}\right)}}}&=\frac{2}{3}\end{aligned}