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At least in the ZF(C) context, the term "class" is commonly used for a collection of sets which is definable (with parameters). A proper class is any such definable collection which is itself not a set. Separation then asserts that any subclass of a set is itself a set.
You don't even need the "local choice axiom" - if U is bijective to On, then any proper class is bijective with a subclass of On, and any proper subclass of On is in bijection with On itself.
@C7X I'm uncertain what I meant 10 years ago but I think replacing it with "PTO of ... is $\leq\gamma$" would match what I was after. But then again by now I am aware this is very sensitive to how the well-orders are coded and just speaking of ordinals on their own doesn't make sense here, so I'm not sure how meaningful that question is.
"Germs that form a field" does not specify the field uniquely. The ring of germs has many distinct maximal subfields. And the elements whose derivatives are eventually nonzero does not form a ring, let alone a field.
But a Hardy field cannot contain all of those germs. I didn't downvote the question, though it would do with some clarifications. I downvoted your answer since without those clarifications it is simply wrong, the ring of all smooth germs at infinity doesn't embed into surreals.
You say "the Hardy field", do you have a specific one in mind? For instance for $H$ the field of (germs of) rational numbers, you can take $H_I$ to be the subring of (germs of) polynomials.