Proof.
We will use that \mathcal{O}_{\mathbf{P}^ n_ R}(1) is an ample invertible sheaf on the scheme \mathbf{P}^ n_ R. This follows directly from the definition since \mathbf{P}^ n_ R covered by the standard affine opens D_{+}(T_ i). Hence by Properties, Proposition 28.26.13 every finite type quasi-coherent \mathcal{O}_{\mathbf{P}^ n_ R}-module is a quotient of a finite direct sum of tensor powers of \mathcal{O}_{\mathbf{P}^ n_ R}(1). On the other hand coherent sheaves and finite type quasi-coherent sheaves are the same thing on projective space over R by Lemma 30.9.1. Thus we see (1).
Projective n-space \mathbf{P}^ n_ R is covered by n + 1 affines, namely the standard opens D_{+}(T_ i), i = 0, \ldots , n, see Constructions, Lemma 27.13.3. Hence we see that for any quasi-coherent sheaf \mathcal{F} on \mathbf{P}^ n_ R we have H^ i(\mathbf{P}^ n_ R, \mathcal{F}) = 0 for i \geq n + 1, see Lemma 30.4.2. Hence (2) holds.
Let us prove (3) and (4) simultaneously for all coherent sheaves on \mathbf{P}^ n_ R by descending induction on i. Clearly the result holds for i \geq n + 1 by (2). Suppose we know the result for i + 1 and we want to show the result for i. (If i = 0, then part (4) is vacuous.) Let \mathcal{F} be a coherent sheaf on \mathbf{P}^ n_ R. Choose a surjection as in (1) and denote \mathcal{G} the kernel so that we have a short exact sequence
0 \to \mathcal{G} \to \bigoplus \nolimits _{j = 1, \ldots , r} \mathcal{O}_{\mathbf{P}^ n_ R}(d_ j) \to \mathcal{F} \to 0
By Lemma 30.9.2 we see that \mathcal{G} is coherent. The long exact cohomology sequence gives an exact sequence
H^ i(\mathbf{P}^ n_ R, \bigoplus \nolimits _{j = 1, \ldots , r} \mathcal{O}_{\mathbf{P}^ n_ R}(d_ j)) \to H^ i(\mathbf{P}^ n_ R, \mathcal{F}) \to H^{i + 1}(\mathbf{P}^ n_ R, \mathcal{G}).
By induction assumption the right R-module is finite and by Lemma 30.8.1 the left R-module is finite. Since R is Noetherian it follows immediately that H^ i(\mathbf{P}^ n_ R, \mathcal{F}) is a finite R-module. This proves the induction step for assertion (3). Since \mathcal{O}_{\mathbf{P}^ n_ R}(d) is invertible we see that twisting on \mathbf{P}^ n_ R is an exact functor (since you get it by tensoring with an invertible sheaf, see Constructions, Definition 27.10.1). This means that for all d \in \mathbf{Z} the sequence
0 \to \mathcal{G}(d) \to \bigoplus \nolimits _{j = 1, \ldots , r} \mathcal{O}_{\mathbf{P}^ n_ R}(d_ j + d) \to \mathcal{F}(d) \to 0
is short exact. The resulting cohomology sequence is
H^ i(\mathbf{P}^ n_ R, \bigoplus \nolimits _{j = 1, \ldots , r} \mathcal{O}_{\mathbf{P}^ n_ R}(d_ j + d)) \to H^ i(\mathbf{P}^ n_ R, \mathcal{F}(d)) \to H^{i + 1}(\mathbf{P}^ n_ R, \mathcal{G}(d)).
By induction assumption we see the module on the right is zero for d \gg 0 and by the computation in Lemma 30.8.1 the module on the left is zero as soon as d \geq -\min \{ d_ j\} and i \geq 1. Hence the induction step for assertion (4). This concludes the proof of (3) and (4).
In order to prove (5) note that for all sufficiently large d the map
H^0(\mathbf{P}^ n_ R, \bigoplus \nolimits _{j = 1, \ldots , r} \mathcal{O}_{\mathbf{P}^ n_ R}(d_ j + d)) \to H^0(\mathbf{P}^ n_ R, \mathcal{F}(d))
is surjective by the vanishing of H^1(\mathbf{P}^ n_ R, \mathcal{G}(d)) we just proved. In other words, the module
M_ k = \bigoplus \nolimits _{d \geq k} H^0(\mathbf{P}^ n_ R, \mathcal{F}(d))
is for k large enough a quotient of the corresponding module
N_ k = \bigoplus \nolimits _{d \geq k} H^0(\mathbf{P}^ n_ R, \bigoplus \nolimits _{j = 1, \ldots , r} \mathcal{O}_{\mathbf{P}^ n_ R}(d_ j + d) )
When k is sufficiently small (e.g. k < -d_ j for all j) then
N_ k = \bigoplus \nolimits _{j = 1, \ldots , r} R[T_0, \ldots , T_ n](d_ j)
by our computations in Section 30.8. In particular it is finitely generated. Suppose k \in \mathbf{Z} is arbitrary. Choose k_{-} \ll k \ll k_{+}. Consider the diagram
\xymatrix{ N_{k_{-}} & N_{k_{+}} \ar[d] \ar[l] \\ M_ k & M_{k_{+}} \ar[l] }
where the vertical arrow is the surjective map above and the horizontal arrows are the obvious inclusion maps. By what was said above we see that N_{k_{-}} is a finitely generated R[T_0, \ldots , T_ n]-module. Hence N_{k_{+}} is a finitely generated R[T_0, \ldots , T_ n]-module because it is a submodule of a finitely generated module and the ring R[T_0, \ldots , T_ n] is Noetherian. Since the vertical arrow is surjective we conclude that M_{k_{+}} is a finitely generated R[T_0, \ldots , T_ n]-module. The quotient M_ k/M_{k_{+}} is finite as an R-module since it is a finite direct sum of the finite R-modules H^0(\mathbf{P}^ n_ R, \mathcal{F}(d)) for k \leq d < k_{+}. Note that we use part (3) for i = 0 here. Hence M_ k/M_{k_{+}} is a fortiori a finite R[T_0, \ldots , T_ n]-module. In other words, we have sandwiched M_ k between two finite R[T_0, \ldots , T_ n]-modules and we win.
\square
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