"What is the probability that a particle's speed lies between $u$ and $u+du$?"
Short answer
The probability that a particle's velocity has an $x$-component between $u_x$ and $u_x+du_x$, and similarly for $y$ and $z$, is proportional to the volume taken up by that small cubic chunk of velocity-space, $du_xdu_ydu_z.$ Given these three components of the velocity you can calculate the speed and direction (within a small range) that the particle is traveling.
Integrating over all possible directions,
$$\int_{\theta,\phi} du_xdu_ydu_z = \int_{\theta,\phi} u^2\sin(\theta)d\theta d\phi du=4\pi u^2du.$$
Details
The probability that the $x$-velocity lies somewhere between $a$ and $b$ is given by
$$P_{u_x}(a,b)=\int_{a}^{b}f(u_x)du_x$$
where $f(u_x)$ is called the probability distribution of $u_x$. By the continuity of the integral, we see that
$$P_{u_x}(u_x,u_x+dx)=\int_{u_x}^{u_x+dx}f(u_x)du_x=f(u_x)du_x=dP_{u_x}$$
Since the magnitude of the $x$-velocity cannot affect the magnitude of the $y$-velocity and so on, the probabilities multiply, and the probability that the particle has all three components in some range is
$$dP_{u_x}dP_{u_y}dP_{u_z}=f(u_x)f(u_y)f(u_z)du_x du_y du_z \tag{1}$$
If we want to count up all the velocity states with the same velocity exclusive of direction, then we write
\begin{align}
P_u(u,u+du) &= \int_{\theta,\phi} f(u_x)f(u_y)f(u_z) du_xdu_ydu_z \\
&= \int_{\theta,\phi} f(u) u^2\sin(\theta)d\theta d\phi du \\
&=f(u)4\pi u^2du.\tag{2}
\end{align}
Comparing equations (1) and (2) should hopefully remove the confusion.
Note: $f(u)$ is distinct from the $f(u_i)$, but this should be clear from the context.