/-- If `f : ℝⁿ → E` is Bochner integrable w.r.t. a locally finite measure `μ` on a rectangular box
`I`, then it is McShane integrable on `I` with the same integral.  -/
theorem IntegrableOn.hasBoxIntegral [CompleteSpace E] {f : (ι → ℝ) → E} {μ : Measure (ι → ℝ)}
    [IsLocallyFiniteMeasure μ] {I : Box ι} (hf : IntegrableOn f I μ) (l : IntegrationParams)
    (hl : l.bRiemann = false) :
    HasIntegral.{u, v, v} I l f μ.toBoxAdditive.toSMul (∫ x in I, f x ∂μ) := by
  borelize E
  -- First we replace an `ae_strongly_measurable` function by a measurable one.
  rcases hf.aestronglyMeasurable with ⟨g, hg, hfg⟩
  haveI : SeparableSpace (range g ∪ {0} : Set E) := hg.separableSpace_range_union_singleton
  rw [integral_congr_ae hfg]; have hgi : IntegrableOn g I μ := (integrable_congr hfg).1 hf
  refine' BoxIntegral.HasIntegral.congr_ae _ hfg.symm hl
  clear! f
  /- Now consider the sequence of simple functions
    `SimpleFunc.approxOn g hg.measurable (range g ∪ {0}) 0 (by simp)`
    approximating `g`. Recall some properties of this sequence. -/
  set f : ℕ → SimpleFunc (ι → ℝ) E :=
    SimpleFunc.approxOn g hg.measurable (range g ∪ {0}) 0 (by simp)
  have hfi : ∀ n, IntegrableOn (f n) I μ :=
    SimpleFunc.integrable_approxOn_range hg.measurable hgi
  have hfi' := fun n => ((f n).hasBoxIntegral μ I l hl).integrable
  have hfg_mono : ∀ (x) {m n}, m ≤ n → ‖f n x - g x‖ ≤ ‖f m x - g x‖ := by
    intro x m n hmn
    rw [← dist_eq_norm, ← dist_eq_norm, dist_nndist, dist_nndist, NNReal.coe_le_coe, ←
      ENNReal.coe_le_coe, ← edist_nndist, ← edist_nndist]
    exact SimpleFunc.edist_approxOn_mono hg.measurable _ x hmn
  /- Now consider `ε > 0`. We need to find `r` such that for any tagged partition subordinate
    to `r`, the integral sum is `(μ I + 1 + 1) * ε`-close to the Bochner integral. -/
  refine' HasIntegral.of_mul ((μ I).toReal + 1 + 1) fun ε ε0 => _
  lift ε to ℝ≥0 using ε0.le; rw [NNReal.coe_pos] at ε0; have ε0' := ENNReal.coe_pos.2 ε0
  -- Choose `N` such that the integral of `‖f N x - g x‖` is less than or equal to `ε`.
  obtain ⟨N₀, hN₀⟩ : ∃ N : ℕ, ∫ x in I, ‖f N x - g x‖ ∂μ ≤ ε := by
    have : Tendsto (fun n => ∫⁻ x in I, ‖f n x - g x‖₊ ∂μ) atTop (𝓝 0) :=
      SimpleFunc.tendsto_approxOn_range_L1_nnnorm hg.measurable hgi
    refine' (this.eventually (ge_mem_nhds ε0')).exists.imp fun N hN => _
    exact integral_coe_le_of_lintegral_coe_le hN
  -- For each `x`, we choose `Nx x ≥ N₀` such that `dist (f Nx x) (g x) ≤ ε`.
  have : ∀ x, ∃ N₁, N₀ ≤ N₁ ∧ dist (f N₁ x) (g x) ≤ ε := fun x ↦ by
    have : Tendsto (f · x) atTop (𝓝 <| g x) :=
      SimpleFunc.tendsto_approxOn hg.measurable _ (subset_closure (by simp))
    

Proof state:
ι : Type u
E : Type v
inst✝⁴ : Fintype ι
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
inst✝¹ : CompleteSpace E
μ : Measure (ι → ℝ)
inst✝ : IsLocallyFiniteMeasure μ
I : Box ι
l : IntegrationParams
hl : l.bRiemann = false
this✝² : MeasurableSpace E := borel E
this✝¹ : BorelSpace E
g : (ι → ℝ) → E
hg : StronglyMeasurable g
this✝ : SeparableSpace ↑(Set.range g ∪ {0})
hgi : IntegrableOn g ↑I
f : ℕ → SimpleFunc (ι → ℝ) E :=
  SimpleFunc.approxOn g (_ : Measurable g) (Set.range g ∪ {0}) 0 (_ : 0 ∈ Set.range g ∪ {0})
hfi : ∀ (n : ℕ), IntegrableOn ↑(f n) ↑I
hfi' : ∀ (n : ℕ), BoxIntegral.Integrable I l (↑(f n)) (BoxAdditiveMap.toSMul (Measure.toBoxAdditive μ))
hfg_mono : ∀ (x : ι → ℝ) {m n : ℕ}, m ≤ n → ‖↑(f n) x - g x‖ ≤ ‖↑(f m) x - g x‖
ε : ℝ≥0
ε0 : 0 < ε
ε0' : 0 < ↑ε
N₀ : ℕ
hN₀ : ∫ (x : ι → ℝ) in ↑I, ‖↑(f N₀) x - g x‖ ∂μ ≤ ↑ε
x : ι → ℝ
this : Tendsto (fun x_1 => ↑(f x_1) x) atTop (𝓝 (g x))
⊢ ∃ N₁, N₀ ≤ N₁ ∧ dist (↑(f N₁) x) (g x) ≤ ↑ε

Next tactic:
exact ((eventually_ge_atTop N₀).and <| this <| closedBall_mem_nhds _ ε0).exists