No, it isn't correct. The inequality $\| \sum_{j=1}^n x_j A_{*j} \|^2 \le \sum_{i,j} (x_j a_{ij})^2$ isn't true. In case $A$ has size 2, you are essentially saying that
$$
(ax+by)^2 + (cx+dy)^2 \le (ax)^2 + (by)^2 + (cx)^2 + (dy)^2.
$$
Why is that true?
In addition, somewhere near the middle you have an expression
$$\sum_{j=1}^n x_j^2 \sum_{i=1}^n a_{ij}^2.$$
What does that mean? Is it $\sum_{j=1}^n\left(x_j^2\sum_{i=1}^n a_{ij}^2\right)$ or $\left(\sum_{j=1}^nx_j^2\right)\left(\sum_{i=1}^n a_{ij}^2\right)$?
- If it's $\sum_{j=1}^n\left(x_j^2\sum_{i=1}^n a_{ij}^2\right)$, it isn't equal to $\sum_{j=1}^nx_j^2\|A\|^2$.
- If it's $\left(\sum_{j=1}^nx_j^2\right)\left(\sum_{i=1}^n a_{ij}^2\right)$, the latter summation doesn't make sense, as $j$ is unspecified.