I am currently reading "Elements of Set Theory" by Herbert B. Enderton. The first theorem proven in the book states:
There is no set to which every set belongs.
But isn't it the case that phrase "set to which every set belongs" cannot even be formulated within a theory. According axiom schema of specification (also called the axiom schema of separation or of restricted comprehension) a new set can be defined only using the following formula:
$\forall z \forall w_1 \forall w_2\ldots \forall w_n \exists y \forall x [x \in y \Leftrightarrow (( x \in z )\land \phi )]$
In other words, any new set $y$ can be defined only as a subset of some other set ($z$ in the formula). So, how can we define a set containing all the other sets under this restriction?
So, my concern not about the prove that "set containing all sets" does not exist but about the fact that we prove existence (non-existence) of something that cannot be formulated in terms of the language of theory. It looks like we try to prove within ZFC that "cats" exist. ZFC does not know what is a "cat".
The natural-language statement "there is no set of all sets" is formalized in set theory as $$\neg\exists x\forall y(y\in x),$$ or perhaps more readably $$\forall x\exists y(y\not\in x).$$
(Keep in mind that in $\mathsf{ZFC}$ all things are sets, so "is a set" is just a dummy phrase.)
You seem to be confused about the role of the axioms, e.g. when you write
Axioms are not creative, they are descriptive: they don't in any sense generate the objects that exist, they merely tell us how those objects must behave. The separation axioms don't say that every set has to be created in a certain way, they just describe certain types of set which are guaranteed to exist. And the axioms certainly don't affect what we can define - that's just a language matter, it has nothing to do with the axioms at play.
The following might help: