But, if the set is infinite, won’t the odds of any individual number to be selected be effectively zero?
GP's point, as I understand it, is that it is not actually possible to choose a number from [0, 1] uniformly at random in "real life".
I think you could argue that, e.g. in the dartboard thought experiment, the probability of choosing individual points doesn't really matter: only probabilities of measurable subsets with positive measure matter.
How?