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Is the following true?

Let $(x_1,...,x_N)$ be a set of points on the unit sphere $S^{d-1}$. Let $\ell_x: [-1,1]\rightarrow [0,1]$ be a family of Lipschitz functions indexed by $x\in S^{d-1}$, with corresponding Lipschitz constants $L_x$. Let $\sigma$ be a vector of Rademacher variables ($\pm 1$ with equal probability). Then, for any set $H$ of real valued functions, \begin{eqnarray} \frac{1}{N} E_{\sigma}[\sup_{h\in H}\sum_{n=1}^N \sigma_n (\ell_{x_n}\circ h) (x_n)] \le \frac{1}{N} E_{\sigma}[\sup_{h\in H}\sum_{n=1}^N L_{x_n} \sigma_n h(x_n)] \end{eqnarray}

If $\ell_x(\cdot)$ would be the same for all $x$ then the LHS would be the empirical Rademacher complexity of $\ell\circ H$, and the above inequality would hold by the Talagrand contraction lemma. Does this modified form exist? Is it likely to be true?

Update: No longer interesting (for the reason in the answer).

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This seems to be easy by modifying the proof of the original, but not very useful, as in practice we need to take the sup w.r.t. $h, \forall \ell_{x_n}$.

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