> One argument is: If we assume that $On$ is a set, hen it is well-ordered and transitive, hence an ordinal and an element of itself, there $\\{On\\} \in On$. Why does it contradicts to the wellorder?
This doesn't contradict well-orderedness (as Hagen von Eitzen's answer seems to mistakenly claim); it contradicts well- _foundedness_. The well-foundedness axiom of ZFC states (among other things) that no set is an element of itself.
The reasoning in the last paragraph of your question (where you asked "where is the error in my reasoning?") seems to be correct.