I am only talking about the set in the OP, {{1}, {1, 2}, {1, 2, 3}, {1, 2, 3, 4} ...}. Let's call it S for less confusion.I've been talking around an ambiguity in your language, trying to clarify what you are referring to. Now I need to be very specific.
When you say "the set of sets" I have presumed (hoped?) that you meant, as I said here, one particular set of sets:
You never said that assumption was wrong. Since you initially asked about this particular set of sets, our answers have been about that. We've taken you at your word.
But here I think you are not talking about that particular set, but about the set of all sets. Or else you are confusing the two, and thinking that they are the same. I say that because it is utter nonsense to say "Every n that exists in [this particular] set of sets must be in some set," but it would be true (with a caveat) to say that "Every n that exists in the set of all sets must be in some set." (In either case, I'm taking your "in" to mean "an element of one of the sets constituting the big set", and not "an element of the big set"; the set's elements are sets, not numbers!)
So, please answer me directly: Are you thinking that {{1}, {1, 2}, {1, 2, 3}, {1, 2, 3, 4} ...} is the set of all sets?? Or are you not really talking about this particular set of sets in the first place, but something else?
You talked from the start about the "bijection between each set and each natural number", though, as I said, that is irrelevant to the question as you asked it. Yes, there is a bijection between the set of natural numbers and {{1}, {1, 2}, {1, 2, 3}, {1, 2, 3, 4} ...}; but when we write {{1}, {1, 2}, {1, 2, 3}, {1, 2, 3, 4} ...}, we are talking about that set exactly as written, not about any set in one-to-one correspondence with it. For example, we don't say that the set {A, B, C} is the same set as {1, 2, 3}. I'm wondering if you are making that mistake, and thinking of {{1}, {1, 2}, {1, 2, 3}, {1, 2, 3, 4} ...} as "the set containing any set with cardinality 1, and any set with cardinality 2, and so on -- which would be the set of all (non-empty, finite) sets.
But even this would not be the set of all sets, because it would still omit infinite sets!
Before we can solve your problem, we have to agree on exactly what you mean. That's part of the reason I emphasized definitions. You defined a particular set, but you don't seem to be talking about that set at all. Definitions and notation are taken very seriously in math; they are intended to mean exactly what they say, and no more. If you say one thing but mean another, then communication is impossible.
Here is the best way that I can describe why I think there is a contradiction.
Every n (natural number) that exists in S must be in some subset. If all n are elements of the subsets in S, then there can only be one of these subsets with all n. It would be identical to the set of all natural numbers.
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