Proof.
Fully faithfulness. Suppose we have i \in I and objects X_ i, Y_ i of \mathcal{C}_{S_ i}. Denote X = X_ i \times _{S_ i} S and Y = Y_ i \times _{S_ i} S. Suppose given a morphism f : X \to Y over S. We can choose a finite affine open covering Y_ i = V_{i, 1} \cup \ldots \cup V_{i, m} such that V_{i, j} \to Y_ i \to S_ i maps into an affine open W_{i, j} of S_ i. Denote Y = V_1 \cup \ldots \cup V_ m the induced affine open covering of Y. Since f : X \to Y is quasi-compact (Schemes, Lemma 26.21.14) after increasing i we may assume that there is a finite open covering X_ i = U_{i, 1} \cup \ldots \cup U_{i, m} by quasi-compact opens such that the inverse image of U_{i, j} in Y is f^{-1}(V_ j), see Lemma 32.4.11. By Lemma 32.10.1 applied to f|_{f^{-1}(V_ j)} over W_ j we may assume, after increasing i, that there is a morphism f_{i, j} : V_{i, j} \to U_{i, j} over S whose base change to S is f|_{f^{-1}(V_ j)}. Increasing i more we may assume f_{i, j} and f_{i, j'} agree on the quasi-compact open U_{i, j} \cap U_{i, j'}. Then we can glue these morphisms to get the desired morphism f_ i : X_ i \to Y_ i. This morphism is unique (up to increasing i) because this is true for the morphisms f_{i, j}.
To show that the functor is essentially surjective we argue in exactly the same way. Namely, suppose that X is an object of \mathcal{C}_ S. Pick i \in I. We can choose a finite affine open covering X = U_1 \cup \ldots \cup U_ m such that U_ j \to X \to S \to S_ i factors through an affine open W_{i, j} \subset S_ i. Set W_ j = W_{i, j} \times _{S_ i} S. This is an affine open of S. By Lemma 32.10.1, after increasing i, we may assume there exist U_{i, j} \to W_{i, j} of finite presentation whose base change to W_ j is U_ j. After increasing i we may assume there exist quasi-compact opens U_{i, j, j'} \subset U_{i, j} whose base changes to S are equal to U_ j \cap U_{j'}. Claim: after increasing i we may assume the image of the morphism U_{i, j, j'} \to U_{i, j} \to W_{i, j} ends up in W_{i, j} \cap W_{i, j'}. Namely, because the complement of W_{i, j} \cap W_{i, j'} is closed in the affine scheme W_{i, j} it is affine. Since U_ j \cap U_{j'} = \mathop{\mathrm{lim}}\nolimits U_{i, j, j'} does map into W_{i, j} \cap W_{i, j'} we can apply Lemma 32.4.9 to get the claim. Thus we can view both
U_{i, j, j'} \quad \text{and}\quad U_{i, j', j}
as schemes over W_{i, j'} whose base changes to W_{j'} recover U_ j \cap U_{j'}. Hence after increasing i, using Lemma 32.10.1, we may assume there are isomorphisms U_{i, j, j'} \to U_{i, j', j} over W_{i, j'} and hence over S_ i. Increasing i further (details omitted) we may assume these isomorphisms satisfy the cocycle condition mentioned in Schemes, Section 26.14. Applying Schemes, Lemma 26.14.1 we obtain an object X_ i of \mathcal{C}_{S_ i} whose base change to S is isomorphic to X; we omit some of the verifications.
\square
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