We are given an orthonormal set \( \{x_k\}_{k=1}^\infty \) in a Hilbert space \( X \), and \( Y \) is the linear span of the first \( n \) vectors. The map \( S_n(x) = \sum_{k=1}^n \langle x, x_k \rangle x_k \) represents the projection of \( x \) onto the subspace \( Y \).
Step 1: Orthogonal Projection onto \( Y \)
Since \( \{x_k\}_{k=1}^\infty \) is an orthonormal set, \( S_n(x) \) represents the orthogonal projection of \( x \) onto the subspace \( Y \). Therefore, (A) is TRUE.
Step 2: Orthogonal Projection onto \( Y^\perp \)
\( S_n(x) \) is not the projection onto \( Y^\perp \), it is the projection onto \( Y \), so (B) is FALSE.
Step 3: Orthogonality of \( x - S_n(x) \) and \( S_n(x) \)
By the properties of orthogonal projections, \( (x - S_n(x)) \) is orthogonal to \( S_n(x) \), so (C) is TRUE.
Step 4: The sum \( \sum_{k=1}^n \langle x, x_k \rangle^2 \)
The sum \( \sum_{k=1}^n \langle x, x_k \rangle^2 \) is not equal to \( \| x \|^2 \) for all \( x \in X \); it only gives the squared norm of the projection of \( x \) onto the span of \( \{ x_k \}_{k=1}^n \). Therefore, (D) is FALSE.
Thus, the correct answers are:
\[
\boxed{(A)} \quad S_n(x) \text{ is the orthogonal projection of } x \text{ onto } Y.
\]
\[
\boxed{(C)} \quad (x - S_n(x)) \text{ is orthogonal to } S_n(x) \text{ for all } x \in X.
\]