Proof.
We first make a preliminary remark. Suppose that (S', s') \to (S, s) is an elementary étale neighbourhood. Denote \mathcal{F}' the pullback of \mathcal{F} to X' = X \times _ S S'. By the discussion following Definition 38.16.1 we see that \mathcal{F}' is pure along X'_{s'}. Moreover, \mathcal{F}' is flat over S' along X'_{s'}. Then it suffices to prove that \mathcal{F}' is universally pure along X'_{s'}. Namely, given any morphism (T, t) \to (S, s) of pointed schemes the fibre product (T', t') = (T \times _ S S', (t, s')) is flat over (T, t) and hence if \mathcal{F}_{T'} is pure along X_{t'} then \mathcal{F}_ T is pure along X_ t by Lemma 38.16.6. Thus during the proof we may always replace (s, S) by an elementary étale neighbourhood. We may also replace S by \mathop{\mathrm{Spec}}(\mathcal{O}_{S, s}) due to the local nature of the problem.
Choose an elementary étale neighbourhood (S', s') \to (S, s) and a commutative diagram
\xymatrix{ X \ar[d] & X' \ar[l]^ g \ar[d] \\ S & \mathop{\mathrm{Spec}}(\mathcal{O}_{S', s'}) \ar[l] }
such that X' \to X \times _ S \mathop{\mathrm{Spec}}(\mathcal{O}_{S', s'}) is étale, X_ s = g((X')_{s'}), the scheme X' is affine, and such that \Gamma (X', g^*\mathcal{F}) is a free \mathcal{O}_{S', s'}-module, see Lemma 38.12.11. Note that X' \to \mathop{\mathrm{Spec}}(\mathcal{O}_{S', s'}) is of finite type (as a quasi-compact morphism which is the composition of an étale morphism and the base change of a finite type morphism). By our preliminary remarks in the first paragraph of the proof we may replace S by \mathop{\mathrm{Spec}}(\mathcal{O}_{S', s'}). Hence we may assume there exists a commutative diagram
\xymatrix{ X \ar[dr] & & X' \ar[ll]^ g \ar[ld] \\ & S & }
of schemes of finite type over S, where g is étale, X_ s \subset g(X'), with S local with closed point s, with X' affine, and with \Gamma (X', g^*\mathcal{F}) a free \Gamma (S, \mathcal{O}_ S)-module. Note that in this case g^*\mathcal{F} is universally pure over S, see Lemma 38.17.4.
In this situation we apply Lemma 38.18.2 to deduce that \text{Ass}_{X/S}(\mathcal{F}) \subset g(X') from our assumption that \mathcal{F} is pure along X_ s and flat over S along X_ s. By Divisors, Lemma 31.7.3 and Remark 31.7.4 we see that for any morphism of pointed schemes (T, t) \to (S, s) we have
\text{Ass}_{X_ T/T}(\mathcal{F}_ T) \subset (X_ T \to X)^{-1}(\text{Ass}_{X/S}(\mathcal{F})) \subset g(X') \times _ S T = g_ T(X'_ T).
Hence by Lemma 38.18.2 applied to the base change of our displayed diagram to (T, t) we conclude that \mathcal{F}_ T is pure along X_ t as desired.
\square
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