I'm not advanced. But I do have a methodical understanding of some basics.
(1) There is a difference between ZF-Inf and (ZF-Inf)+~Inf. I'll call the later 'HF' (the theory of hereditarily finite sets).
The language of HF is the language of ZF (i.e. the language of set theory).
PA and HF can be interpreted in each other.
The usual universe for HF that we have in mind is the set of hereditarily finite sets. And of course N is also a universe for HF.
(2) Most textbooks take 'is a set' as informally primitive, but we can be precise in the language of set theory:
x is an urelement <-> (~ x=0 & ~Ey yex)
x is a class <-> ~ x is an urelement
x is a set <-> (x is a class & Ey xey)
x is a proper class <-> (x is a class & ~ x is a set)
In set theory, we can prove:
Ax x is a set (though, as mentioned, most textbooks don't bother with something so basic).
(3) The language of class theory (such as Bernays style class theory, which I'll call 'BC') has a primitive predicate 'is a set' (or a many-sorted language is used, which is essentially the same as using a primitive 1-place predicate), so in BC 'is a set' is not defined but instead certain axioms are relativized to sets.
In BC we prove:
Ex x is a proper class
(4) I explained why "N is a proper class in PA" [or whatever paraphrase] is, on its face, not coherent. But I allowed that one is welcome to adduce some particular mathematical statement instead. And I explained why it would not be a correct statement in set theory (and I would add, not even in BC). So maybe we turn to HF.
Since HF is in the language of set theory, in HF we can define any predicate of set theory, and we can define any operation of set theory for which we can prove existence and uniqueness in HF.
HF proves ~ExAy(y is a natural number -> y e x). So there is no definition of 'N' (in the sense of the set of natural numbers) in HF.
So, while HF can have predicates 'is a natural number', 'is a set', and 'is a proper class', still HF can't have the definition N = the set of natural numbers.
As far as I can tell, the best we could do in NF is this theorem:
If Ax(Ay(y is a natural number -> yex) -> x is a proper class). But that holds vacuously, since there we have ~ExAy(y is a natural number -> yex).
So, as far as I can tell, we are still thwarted from making sense of "N is a proper class in PA" or even "N is a proper class in HF".
And in set theory (and even in BC, if I'm not mistaken) the universe for a model is a set, not a proper class.
(5) Caicedo says, "in ZF without the axiom of infinity [...] you cannot prove that w is a set, but you can prove that as a (perhaps proper) class, it satisfies both first and second order PA."
I don't know why he says 'perhaps' there. And without more explanation, I don't understand what he's saying.
I do understand that, in ZF-Inf, there is not a proof that there is a set of which all natural numbers are a member (that's another way of affirming the independence of the axiom of infinity).
But when he says "you can prove", does he mean prove in ZF-Inf? Proof of satisfaction with models takes place in set theory, not in ZF-Inf nor in HF. And in set theory, universes of satisfaction are sets, not proper classes.
What is understandable to say is:
ZF-Inf does not prove there is an x such that all natural numbers are a member of x.
HF proves there is no x such that all natural numbers are a member of x.
PA and HF are mutually interpretable.
The set of natural numbers N is a universe for a model of ZF-Inf or of HF.
But saying "in Pa (or in HF), N is a proper class" makes no sense.
(6)
absent the axiom of infinity, w (or N) is a proper class. — fishfry
No, absent Inf, it is not a theorem that N is a proper class. Indeed, absent Inf, there is not even possible a definition N = the set of natural numbers. Rather, absent Inf, there is not a proof that there exists an x such that all natural numbers are in x, and there is not a proof that there is no x such that all the natural numbers are in x. In other words, "there is an x such that all natural numbers are in x" is independent of ZF-Inf. However, (ZF-Inf)+~Inf does prove "there is no x such at all natural numbers are in x", but still, it does not say anything about such a thing (which does not exist anyway in NF) being a proper class or not.
(7)
Yes, you can't define the ordinals in PA because you can't get to the first transfinite ordinal ω by successors. — fishfry
In HF, we can define the predicate 'is an ordinal' and for any finite ordinal, we can define a constant for it. But, as you mention, we can't define a set that has all the finite ordinals as members.
But even in set theory, there are specific ordinals that don't have a definition (there are more than countably many ordinals, but only countably many definitions we could form).