I think most of this worrying is dissolved by better philosophy of mathematics.
Infinte sets can be proven to exist in ZF, that's just a consequence of the Axiom of Infinity. Drop the axiom, and you can't prove them to exist. You're perfectly welcome to work in ZF-Infinity if you like, but most mathematicians find ZF to be more interesting and more useful. I think the mistake is to think that one of these is the "true" axiomatization of set theory, and therefore there is a fact of the matter over whether "infinite sets exist". There are just the facts about what is implied by what axioms.
If you're worried about how we think about implication in logic without assuming set theory, perhaps even set theory with Infinity, then I agree that that's worrying, but that's not particularly an issue with infinity.
Then, on the other hand, you might wonder whether some physical thing, like the universe, is infinite. That's now a philosophy of science question about whether using infinite sets or somesuch in our physical theories is a good idea. Still pretty different.
Aside: your specific arguments are invalid.
Another mathematical point is that mathematical models involving infinite things can sometimes be shown to be equivalent to mathematical models involving only finite things. Terence Tao has written extensively on this; see, for example, this blog post. So quibbling about infinities is very much quibbling about properties of the map, not properties of the territory.
[Crossposted]
Initially attracted to Less Wrong by Eliezer Yudkowsky's intellectual boldness in his "infinite-sets atheism," I've waited patiently to discover its rationale. Sometimes it's said that our "intuitions" speak for infinity or against, but how could one, in a Kahneman-appropriate manner, arrive at intuitions about whether the cosmos is infinite? Intuitions about infinite sets might arise from an analysis of the concept of actually realized infinities. This is a distinctively philosophical form of analysis and one somewhat alien to Less Wrong, but it may be the only way to gain purchase on this neglected question. I'm by no means certain of my reasoning; I certainly don't think I've settled the issue. But for reasons I discuss in this skeletal argument, the conceptual—as opposed to the scientific or mathematical—analysis of "actually realized infinities" has been largely avoided, and I hope to help begin a necessary discussion.
1. The actuality of infinity is a paramount metaphysical issue.
2. The principle of the identity of indistinguishables applies to physics and to sets, not to everything conceivable.
3. Arguments against actually existing infinite sets.
A. Argument based on brute distinguishability.
B. Argument based on probability as limiting relative frequency.
4. The nonexistence of actually realized infinite sets and the principle of the identity of indistinguishable sets together imply the Gold model of the cosmos.