Let us say that a contramodule $P$ is set-theoretically finitely generated if there exists a finite set of elements $p_1,\dotsc,p_n\in P$ such that any subcontramodule of $P$ containing $p_1,\dotsc,p_n$ coincides with $P$. So the set-theoretical finite generatedness is not an inner property of an object of a contramodule category (rather, it can be defined in terms of the category of contramodules and the forgetful functor from it to the category of sets).
This answer concerns representing a contramodule as a direct limit of its set-theoretically finitely generated subcontramodules. This is a more interesting question, actually, then the one about category-theoretically finitely generated subcontramodules (discussed in the other answer).
The maximal natural generality for this question is that of algebras/modules over additive monads on the category of sets. This is very abstract, so let us choose an intermediate generality level of contramodules over a complete, separated topological ring $R$ with a base of neighborhoods of zero consisting of open right ideals (as per one of the references in the question). The particular case of contramodules over a coalgebra $C$ over a field $k$ corresponds to the choice of a linearly compact topological algebra $R=C^*$.
Consider the forgetful functor $\rho\colon R{-}\mathbf{contra}\to R{-}\mathbf{mod}$ from the category of left $R$-contramodules $R{-}\mathbf{contra}$ to the category of left $R$-modules $R{-}\mathbf{mod}$. The functor $\rho$ is faithful, exact, and preserves infinite products (but not coproducts). The functor $\rho$ has a left adjoint functor $\delta\colon R{-}\mathbf{mod}\to R{-}\mathbf{contra}$, which can be constructed as follows.
For every set $X$, denote by $R[X]$ the free left $R$-module spanned by $X$ and by $R[[X]]$ the free left $R$-contramodule spanned by $X$. The underlying set of $R[X]$ is the set of all finite linear combinations of elements of $X$ with the coefficients in $R$, while the underlying set of $R[[X]]$ is the set of all infinite linear combinations $\sum_{x\in X}r_xx$ of elements of $X$ with the families of coefficients $(r_x\in R)_{x\in X}$ converging to zero in $R$. The latter condition means that for every neighborhood of zero $U\subset R$ the set $\{x\in X\mid r_x\notin U\}$ is finite.
Then one has $\delta(R[X])=R[[X]]$. Furthermore, the functor $\delta$, being a left adjoint, preserves colimits, and in particular cokernels. Any $R$-module $M$ can be represented as the cokernel of a morphism of free $R$-modules $f\colon R[Y]\to R[X]$. The $R$-contramodule $\delta(M)$ can be computed as the cokernel of the induced morphism of free $R$-contramodules $\delta(f)\colon R[[Y]]\to R[[X]]$.
Notice that for a finite set $Z$ the $R$-modules $R[Z]$ and $R[[Z]]$ coincide, or more precisely $\rho(R[[Z]])=R[Z]$. So one has $\rho\delta(R[Z])=R[Z]$ and $\delta\rho(R[[Z]])=R[[Z]]$. The following lemma provides a generalization of this observation.
Lemma. For any set-theoretically finitely generated $R$-contramodule $P$, the adjunction morphism $\delta\rho(P)\to P$ in $R{-}\mathbf{contra}$ is an isomorphism.
Proof. The functor $\rho$ is conservative, so it suffices to show that the underlying map $\rho\delta\rho(P)\to\rho(P)$ is an isomorphism in $R{-}\mathbf{mod}$, or equivalently, the adjunction morphism $\rho(P)\to\rho\delta\rho(P)$ in $R{-}\mathbf{mod}$ is an isomorphism.
Saying that $P$ is a set-theoretically finitely generated contramodule means that $P$ is a quotient contramodule of a free contramodule $R[[Z]]$ with a finite set of generators $Z$. As $\rho(R[[Z]])=R[Z]$, it follows that $\rho(P)$ is a finitely generated $R$-module. So the $R$-module $\rho(P)$ can be represented as the cokernel of a morphism of free $R$-modules $f\colon R[Y]\to R[Z]$ (where the set $Z$ is finite, while the set $Y$ may be infinite).
Now the $R$-contramodule $\delta\rho(P)$ is the cokernel of the morphism of free $R$-contramodules $\delta(f)\colon R[[Y]]\to R[[Z]]$, so the $R$-module $\rho\delta\rho(P)$ is the cokernel of the map $\rho\delta(f)\colon\rho(R[[Y]])\to R[Z]$. We have the adjunction morphism of morphisms (i.e., a commutative square) $f\to\rho\delta(f)$ in $R{-}\mathbf{mod}$, which reduces to a commutative triangle $R[Y]\to\rho(R[[Y]])\to R[Z]$. It follows that the adjunction map $\rho(P)\to\rho\delta\rho(P)$ is surjective.
As the composition $\rho(P)\to\rho\delta\rho(P)\to\rho(P)$ is an isomorphism, we can conclude that the map $\rho(P)\to\rho\delta\rho(P)$ is an isomorphism, too. This finishes the proof of the lemma.
Let us introduce short notation $\mathbf{K}=R{-}\mathbf{contra}$ and $\mathbf{A}=R{-}\mathbf{mod}$ for the categories of left $R$-contramodules and left $R$-modules.
Given an $R$-contramodule $E$, we notice first of all that a set-theoretically finitely generated subcontramodule of $E$ is the same thing as a finitely generated $R$-submodule of $E$. In other words, the forgetful functor $\rho$ induces a bijection between the set of all set-theoretically finitely generated subcontramodules of $E$ and the set of all finitely generated submodules of $\rho(E)$. This follows from the fact that $\rho(R[[Z]])=R[Z]$ for any finite set $Z$.
Theorem. Let $E$ be an $R$-contramodule and $\Gamma$ be a subset in the set of all set-theoretically finitely generated subcontramodules in $E$ such that $\Gamma$ is a directed poset in the inclusion order and no proper $R$-submodule of $E$ contains all the subcontramodules of $E$ belonging to $\Gamma$. (For example, taking $\Gamma$ to be the set of all set-theoretically finitely generated subcontramodules of $E$ satisfies these conditions.) Then one has a natural isomorphism in $\mathbf{K}=R{-}\mathbf{contra}$
$$
\varinjlim\nolimits^{\mathbf K}_{P\in\Gamma}P\simeq\delta\rho(E).
$$
Proof. By assumptions, we have
$$
\varinjlim\nolimits^{\mathbf A}_{P\in\Gamma}\rho(P)=\rho(E)
$$
in $\mathbf{A}=R{-}\mathbf{mod}$. Applying the functor $\delta$, which preserves all colimits as a left adjoint, we get
$$
\varinjlim\nolimits^{\mathbf K}_{P\in\Gamma}\delta\rho(P)=\delta\rho(E)
$$
in $\mathbf{K}=R{-}\mathbf{contra}$. It remains to use the lemma to the effect that $\delta\rho(P)=P$.
So we see that the natural morphism $\varinjlim^{\mathbf K}_{P\in\Gamma}P\to E$ is an isomorphism if and only if the natural morphism $\delta\rho(E)\to E$ is. Quite generally, given a pair of adjoint functors $\delta$ and $\rho$, the adjunction morphism $\delta\rho\to\mathrm{Id}$ is an isomorphism if and only if the functor $\rho$ is fully faithful. Thus the map $\varinjlim^{\mathbf K}_{P\in\Gamma}P\to E$ is an isomorphism for every $R$-contramodule $E$ if and only if the forgetful functor
$\rho\colon R{-}\mathbf{contra}\to R{-}\mathbf{mod}$ is fully faithful.
The latter property does not hold in general, of course (it is not difficult to come up with an example of a coalgebra $C$ over a field $k$ for which the forgetful functor $C{-}\mathbf{contra}\to C^*{-}\mathbf{mod}$ is not full). But it does hold for surprisingly many infinite-dimensional coalgebras $C$ or topological rings $R$. (In particular, it certainly holds for $C^*=k[[t]]$.)