In the Hadamard test (e.g., page 40 of these lecture notes) we have:
But if you look at standard textbook reference, like Nielsen and Chuang, there's an example for how to compute the measurement probability of a single qubit in a multi-qubit system:
For the two qubit state: $$\alpha_{00} |00\rangle + \alpha_{01} |01\rangle + \alpha_{10} |10\rangle + \alpha_{11} |11\rangle$$ the measurement probability for the first qubit to be zero is $p(0) = |\alpha_{00}|^2 + |\alpha_{01}|^2.$
Essentially, you take the amplitudes in front of the terms with $|0\rangle$ in the first qubit and sum their measurement probabilities.
So, back to the Hadamard test, we have the state: $$ \frac{1}{2} (|0\rangle \otimes (|\psi\rangle + U|\psi\rangle)) + \frac{1}{2} (|1\rangle \otimes (|\psi\rangle - U|\psi\rangle)) \\ = \frac{1}{2}|0\rangle|\psi\rangle + \frac{1}{2} |0\rangle U |\psi\rangle + \frac{1}{2}|1\rangle|\psi\rangle - \frac{1}{2}|1\rangle U |\psi\rangle $$
Generalizing from the textbook example, why is it not the case that the measurement probability for the first qubit to be zero is: $$ p(0) = \bigg|\frac{1}{2}\bigg|^2 + \bigg|\frac{1}{2}\bigg|^2 = \frac{1}{2}, $$ but instead is $p(0) = \frac{1}{2} (1 + \text{Re} \langle\psi| U |\psi\rangle)$?