The answer is that $G=SU(\infty)$ (with the direct limit topology of the usual Hilbert-Schmidt topologies) is **extremely** amenable. This means (by definition) that every continuous action of $G$ on a compact set has a fixed point.

This was proved as an application of the isoperimetric inequality by Gromov and Milman

M. Gromov and V.D. Milman, *A topological application of the isoperimetric inequality*, Amer. J. Math. 105 (1983), 843–854.

Since $SU(\infty)$ is not locally compact, various characterizations of amenability have to be adapted. One way to define amenability for such groups is to say that there exists a $G$-invariant mean on the algebra of bounded uniformly continuous real-valued functions on $G$. Extreme amenability then gives even the existence of a $G$-invariant character on this algebra. This is somewhat unintuitive, since obviously no compact group can admit such a character on the algebra of continuous functions on it.

Extreme amenability is a concept which is related to phenomena of measure concentration. Gromov and Milman proved (as an application of lower bounds on the Ricci curvature) that for every sequence of measurable subsets $A_n \subset SU(n)$ with $\liminf_{n  \to \infty} \mu_n(A_n) \neq 0$, one has $$\lim_{n \to \infty} \mu_n(A_{n,\epsilon}) = 1.$$ Here, $\mu_n$ denotes the normalized Haar measure and $A_{n,\varepsilon}$ the $\varepsilon$-neighborhood of $A_n$ in the unnormalized Hilbert-Schmidt metric. This concentration phenomenon can be used to prove extreme amenability of $SU(\infty)$.