Proof.
Pick a scheme U and a surjective smooth morphism x : U \to \mathcal{X}. By Modules on Sites, Definition 18.23.1 there exists an étale (resp. fppf) covering \{ U_ i \to U\} _{i \in I} such that each pullback f_ i^{-1}\mathcal{H} has a global presentation (see Modules on Sites, Definition 18.17.1). Here f_ i : U_ i \to \mathcal{X} is the composition U_ i \to U \to \mathcal{X} which is a morphism of algebraic stacks. (Recall that the pullback “is” the restriction to \mathcal{X}/f_ i, see Sheaves on Stacks, Definition 96.9.2 and the discussion following.) After refining the covering we may assume each U_ i is an affine scheme. Since each f_ i is smooth (resp. flat) by Lemma 104.3.2 we see that f_ i^{-1}Lg_!\mathcal{H} = Lg_{i, !}(f'_ i)^{-1}\mathcal{H}. Using Cohomology of Stacks, Lemma 103.8.2 we reduce the statement of the lemma to the case where \mathcal{H} has a global presentation and where \mathcal{X} = (\mathit{Sch}/X)_{fppf} for some affine scheme X = \mathop{\mathrm{Spec}}(A).
Say our presentation looks like
\bigoplus \nolimits _{j \in J} \mathcal{O} \longrightarrow \bigoplus \nolimits _{i \in I} \mathcal{O} \longrightarrow \mathcal{H} \longrightarrow 0
where \mathcal{O} = \mathcal{O}_{\mathcal{X}_{lisse,{\acute{e}tale}}} (resp. \mathcal{O} = \mathcal{O}_{\mathcal{X}_{flat,fppf}}). Note that the site \mathcal{X}_{lisse,{\acute{e}tale}} (resp. \mathcal{X}_{flat,fppf}) has a final object, namely X/X which is quasi-compact (see Cohomology on Sites, Section 21.16). Hence we have
\Gamma (\bigoplus \nolimits _{i \in I} \mathcal{O}) = \bigoplus \nolimits _{i \in I} A
by Sites, Lemma 7.17.7. Hence the map in the presentation corresponds to a similar presentation
\bigoplus \nolimits _{j \in J} A \longrightarrow \bigoplus \nolimits _{i \in I} A \longrightarrow M \longrightarrow 0
of an A-module M. Moreover, \mathcal{H} is equal to the restriction to the lisse-étale (resp. flat-fppf) site of the quasi-coherent sheaf M^ a associated to M. Choose a resolution
\ldots \to F_2 \to F_1 \to F_0 \to M \to 0
by free A-modules. The complex
\ldots \mathcal{O} \otimes _ A F_2 \to \mathcal{O} \otimes _ A F_1 \to \mathcal{O} \otimes _ A F_0 \to \mathcal{H} \to 0
is a resolution of \mathcal{H} by free \mathcal{O}-modules because for each object U/X of \mathcal{X}_{lisse,{\acute{e}tale}} (resp. \mathcal{X}_{flat,fppf}) the structure morphism U \to X is flat. Hence by construction the value of Lg_!\mathcal{H} is
\ldots \to \mathcal{O}_\mathcal {X} \otimes _ A F_2 \to \mathcal{O}_\mathcal {X} \otimes _ A F_1 \to \mathcal{O}_\mathcal {X} \otimes _ A F_0 \to 0 \to \ldots
Since this is a complex of quasi-coherent modules on \mathcal{X}_{\acute{e}tale} (resp. \mathcal{X}_{fppf}) it follows from Cohomology of Stacks, Proposition 103.8.1 that H^ p(Lg_!\mathcal{H}) is quasi-coherent.
\square
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