On page 21 of
Conway's Field of Surreal Numbers
Norman L. Alling
Transactions of the American Mathematical Society
Jan., 1985, Vol. 287, No. 1, pp. 365-386.
one finds the statement that, on page 43 of
J. H. Conway, On numbers and games, Academic Press, London, 1976,
Conway states that ``As an abstract Field, ${\bf N}_0$
is the unique universally embedding totally ordered Field.''
I don't have a copy of Conway's book, so don't know how he proved it.
If the claim is true, then it is sufficient to answer your question, since given distinct $f, g\colon X\to Y$ one can take an embedding $h$ of $Y$ into ${\bf N}_0$ to separate them.
**Edit** I am editing my answer to respond to the comments.
Originally I thought the main question was in the last sentence of the question: The surreals in U are a weakly terminal object in this category; are they a cogenerator?
The answer is affirmative, since in any category where all
morphisms are monic, any weakly terminal object is a cogenerator.
Now the comments lead me to think that I trivialized the problem. It seems to be this, instead: Given that every $U$-small ordered field embeds in ${\bf N}_0(U)$, does it follow that every $U$-large ordered field in $U$ embeds in ${\bf N}_0(U)$?
I say Yes in NBG with Global Choice. Let $\mathbb G$ be a $U$-large ordered field. Use Global Choice to enumerate $\mathbb G$ by the ordinals in $U$. For each cardinal $\lambda$, let $\mathbb G_{\lambda}$ be the
$U$-small ordered subfield of $\mathbb G$ generated by the elements enumerated by ordinals $<\lambda$. This yields a well-ordered (class size) filtration of $\mathbb G$. Starting with the embedding of $\mathbb G_0 = \mathbb Q$ into ${\bf N}_0(U)$, extend this embedding recursively to each ${\mathbb G}_{\alpha}$ using the following fact at successor stages:
Fact. Any embedding of $\mathbb G_{\alpha}$ into ${\bf N}_0$ can be extended to
$\mathbb G_{\alpha+1}$. This follows from the fact that ${\bf N}_0$ is a $\kappa$-universally extending model for all $\kappa$ (see An alternative construction of Conway's ordered field ${\bf N}_0$ by Philip Ehrlich, Algebra Universalis, 25 (1988) 7-16). Here I am relying on the fact that $\mathbb G_{\alpha}$ and $\mathbb G_{\alpha+1}$ are $U$-small in order to reference the $\kappa$-universally extending model property.
At limit stages take unions. I believe that this process yields a $U$-large embedding of $\mathbb G$ into ${\mathbf N}_0(U)$. Hence ${\mathbf N}_0(U)$ is weakly terminal even with respect to $U$-large ordered fields in $U$, hence is a cogenerator even for the class of $U$-large ordered fields in $U$.