As leslie said "all goofy things can happen when we assume a contradictory thing".
Just wanted to point out: you said "An upper bound can be in the set!" Of course, I know! But notice that this is not the thing I want to show you.
Indeed, if $\sup L \in L$, then $\sup L < f(\sup L)$, by our definition. Then we have $f(\sup L) < f(f(\sup L))$, which means that $f(\sup L) \in L$! But $\sup L < f(\sup L)$, as we witnessed! This is impossible. Which must mean that $\sup L \in R$.
@Ted, I think we can start to discuss correctness of my proof by me showing you that I was correct here.