Take something like the integers (1,2,3,etc.). They are infinite; given an integer, you can always add 1 and get a new integer.

However, there are "gaps" in that number line. Between 1 and 2, there are values that aren't integers. So the integers make a number line that is infinite, but that has gaps.

Then we have something like the rational numbers. That's any number that can be expressed as a ratio of 2 integers (so 1/2, 123/620, etc.). Those ar3 different, because if you take any two rational numbers (say 1/2 and 1/3), we can always find a number in between them (in this case 5/12). So that's an improvement over the integers.

However, this still has "gaps." There is no fraction that can express the square root of 2; that number is not included in the set of rational numbers. So the rational numbers by definition have some gaps.

The problem for mathematicians was that for every infinite set of numbers they were defining, they could always find "gaps." So mathematicians, even though they had plenty of examples of infinite sets, kind of assumed that every set had these sorts of gaps. They couldn't define a set without them.

Cantor (and it seems Dedekind) were the first to be able to formally prove that there are sets without gaps.

I just don't understand why this was disturbing. Prior to the construction of the reals, the existence of irrational and transcendental numbers was disturbing, because they showed that previous constructions (rational numbers and algebraic numbers) were incomplete. If those gaps were disturbing, a construction without gaps should have been satisfying, reassuring, a resolution of tension. Was there some philosophical or theological theory that required the existence of gaps, that claimed that a complete construction of the number line was mathematically impossible, because of some attribute of God or the cosmos?

Right, but that's the opposite of what the Quanta article says. The article says that Cantor and Dedekind discovered infinity in bounded intervals. What they discovered (really, what they concocted) was uncountable infinity.