The inequality can be proved as follows.
First, let $P$ and $Q$ be any two positive semidefinite operators, and consider the operator $\Psi(P - Q)$. Because $\Psi$ is positive, this is a Hermitian operator. In particular, by the positivity of $\Psi$, we can write this operator as a difference between two positive semidefinite operators:
$$
\Psi(P - Q) = \Psi(P) - \Psi(Q).
$$
This expression may, however, not represent a decomposition of $\Psi(P - Q)$ into its positive and negative parts because $\Psi(P)$ and $\Psi(Q)$ might not have orthogonal images (even if $P$ and $Q$ have orthogonal images).
So let's consider such a decomposition,
$$
\Psi(P - Q) = R - S,
$$
where $R$ and $S$ are positive semidefinite and satisfy $R S = 0$. Alternatively, we can write
$$
R= \Psi(P-Q)_+ \quad\text{and}\quad S = \Psi(-(P-Q))_+
$$
using the notation of the question and the paper to which it refers. Let's also define $\Pi$ and $\Delta$ to be the orthogonal projections onto the images of $R$ and $S$, respectively, so
$$
R = \Psi(P - Q) \Pi = \Pi \Psi(P - Q) = \Pi \Psi(P - Q) \Pi
$$
and similar for $\Delta$ and $S$. These are projections onto orthogonal subspaces, so $\Pi + \Delta \leq \mathbb{I}$.
Now we can prove the following inequality.
$$
\begin{aligned}
\operatorname{Tr}(R + S)
& = \operatorname{Tr}\bigl((\Pi - \Delta)(R - S)\bigr)\\
& = \operatorname{Tr}\bigl((\Pi - \Delta)(\Psi(P) - \Psi(Q))\bigr)\\
& = \operatorname{Tr}(\Pi \Psi(P)) - \operatorname{Tr}(\Delta \Psi(P)) - \operatorname{Tr}(\Pi \Psi(Q)) + \operatorname{Tr}(\Delta \Psi(Q))\\
& \leq \operatorname{Tr}(\Pi \Psi(P)) + \operatorname{Tr}(\Delta \Psi(P)) + \operatorname{Tr}(\Pi \Psi(Q)) + \operatorname{Tr}(\Delta \Psi(Q))\\
& = \operatorname{Tr}\bigl((\Pi + \Delta)(\Psi(P) + \Psi(Q))\bigr)\\
& \leq \operatorname{Tr}(\Psi(P) + \Psi(Q))
\end{aligned}
$$
For the first inequality we're using the positivity of $\Psi$ together with the inequality $\operatorname{Tr}(AB)\geq 0$ for $A, B \geq 0$, and for the second inequality we're using $\Pi + \Delta \leq \mathbb{I}$ along with $\Psi(P) + \Psi(Q) \geq 0$ (so again we're using the positivity of $\Psi$).
If we now choose $P = \rho_+$ and $Q = (-\rho)_+$, we obtain $P - Q = \rho$, so $R = \Psi(\rho)_+$ and $S = \Psi(-\rho)_+$. This yields the inequality in the question.
So, the fact that $\rho_+$ and $\rho_-$ are the positive and negative parts of $\rho$ is a bit of a red herring here — it's the decomposition of $\Psi(\rho)$ into its positive and negative parts that is more relevant to this proof.