So, your proof is correct. If there is a set $S$ containing all surreal numbers, then there is a number $N:=\\{S \ | \ \varnothing\\}$ which is strictly greater than all elements of $S$, i.e. all numbers. In particular $N>N$: a contradiction.
So, your proof is correct. If there is a set $S$ containing all surreal numbers, then there is a number $N:=\\{S \ | \ \varnothing\\}$ which is strictly greater than all elements of $S$, i.e. all numbers. In particular $N>N$: a contradiction.