The source of the confusion is *not saying* explicitly what are the sets and $\sigma$-algebras the measures are supposed to be on. For example, a sentence like ''By Kolmogorov's Extension Theorem, there exists a Gaussian measure $\nu_C$ with covariance $C$ on $l^2(\mathbb{Z}^d)$ which is compatible with $\mu_\Lambda$ for every finite $\mu_\Lambda$.'' is asking for trouble because it seems to say the measure $\nu_C$ is on the set $l^2(\mathbb{Z}^d)$, which is false. 

Let's go back to basics. A measurable space $(\Omega,\mathcal{F})$ is a set $\Omega$ equipped with a $\sigma$-algebra $\mathcal{F}$. A measure $\mu$ on the measurable space $(\Omega,\mathcal{F})$ is a map from $\mathcal{F}$ to $[0,\infty]$ satisfying the usual axioms. From now on I will only talk about probability measures.
For best behavior, the $\Omega$ should be a (nice) topological space and $\mathcal{F}$ should be the Borel $\sigma$-algebra for that topology. Suppose one has two topological spaces $X,Y$ and a continuous injective map $\tau:X\rightarrow Y$. Then if $\mu$ is a measure on $(X,\mathcal{B}_X)$ where $\mathcal{B}_X$ is the Borel $\sigma$-algebra of $X$, then one can construct the direct image/push forward measure $\tau_{\ast}\mu$ on $(Y,\mathcal{B}_Y)$ by letting
$$
\forall B\in\mathcal{B}_{Y},\ 
(\tau_{\ast}\mu)(B):=\mu(\tau^{-1}(B))\ .
$$
This is well defined because a continuous map like $\tau$ is also $(\mathcal{B}_X,\mathcal{B}_Y)$-measurable. Technically speaking $\mu$ and $\tau_{\ast}\mu$ are different measures because they are on different spaces. However, one could argue that they are *morally* the same. For example, one might be given the measure $\tau_{\ast}\mu$ without knwing that it is of that form, and only later realize that it is and thus lives on the smaller set $\tau(X)$ inside $Y$.

**The first construction:**

Let $s(\mathbb{Z}^d)$ be the subset of $\mathbb{R}^{\mathbb{Z}^d}$ made of multi-sequences of fast decay $f=(f_x)_{x\in\mathbb{Z}^d}$, i.e., the ones for which
$$
\forall k\in\mathbb{N}, ||f||_k:=\sup_{x\in\mathbb{Z}^d}\langle x\rangle^k|f_x|\ <\infty
$$
where $\langle x\rangle=\sqrt{1+x_1^2+\cdots+x_d^2}$.
Put on the vector space $s(\mathbb{Z}^d)$ the locally convex topology defined by the collection of seminorms $||\cdot||_k$, $k\ge 0$.
The strong dual can be concretely realized as the space $s'(\mathbb{Z}^d)$ of multi-sequences of temperate growth. Namely, $s'(\mathbb{Z}^d)$ is the subset of $\mathbb{R}^{\mathbb{Z}^d}$ made of discrete fields $\phi=(\phi_x)_{x\in\mathbb{Z}^d}$ such that
$$
\exists k\in\mathbb{N},\exists K\ge 0,\forall x\in\mathbb{Z}^d,\ |\phi_x|\le K\langle x\rangle^k\ .
$$
The vector space $s'(\mathbb{Z}^d)$  is given the locally convex topology generated by the seminorms
$||\phi||_{\rho}=\sum_{x\in\mathbb{Z}^d}\rho_x\ |\phi_x|$
where $\rho$ ranges over elements of $s(\mathbb{Z}^d)$ with nonnegative values.

The measure $\mu_C$ obtained via the Bochner-Minlos Theorem is a measure on $X=s'(\mathbb{Z}^d)$ with its Borel $\sigma$-algebra $\mathcal{B}_X$.

**The second construction:**

Let $s_0(\mathbb{Z}^d)$ be the subset of $\mathbb{R}^{\mathbb{Z}^d}$ made of multi-sequences of finite support $f=(f_x)_{x\in\mathbb{Z}^d}$, i.e., the ones for which
$f_x=0$ outside some finite set $\Lambda\subset\mathbb{Z}^d$. Put on the vector space $s_0(\mathbb{Z}^d)$ the finest locally convex topology. Namely, this is the locally convex topology
generated by the collection of *all* seminorms on $s_0(\mathbb{Z}^d)$ .
Note that $s_0(\mathbb{Z}^d)\simeq \oplus_{x\in\mathbb{Z}^d}\mathbb{R}$.
Let $s'_0(\mathbb{Z}^d)$  be the strong topological dual realized concretely as $\mathbb{R}^{\mathbb{Z}^d}$. One can also define the topology by the seminorms $||\phi||_{\rho}=\sum_{x\in\mathbb{Z}^d}\rho_x\ |\phi_x|$
where $\rho$ ranges over elements of $s_0(\mathbb{Z}^d)$ with nonnegative values.
However, this is the same as the product topology for $s'_0(\mathbb{Z}^d)=\prod_{x\in\mathbb{Z}^d}\mathbb{R}$. 

The measure $\nu_C$ constructed via the Daniell-Kolmogorov Extension Theorem is a measure on $Y=s'_0(\mathbb{Z}^d)=\mathbb{R}^{\mathbb{Z}^d}$ with its Borel $\sigma$-algebra for the product topology a.k.a strong dual topology.

**The precise relation between the two measures:**

We simply have $\nu_C=\tau_{\ast}\mu_C$ where $\tau$ is the continuous canonical injection due to $X=s'(\mathbb{Z}^d)$ being a subset of $Y=\mathbb{R}^{\mathbb{Z}^d}$.