As the question states. Let $S$ be a set and $U : \textbf{Graph} \to \textbf{Set}$ be the forgetful functor. Then does the comma category $S \downarrow U$ have initial or terminal objects?
I think the answer is no to both questions. Every construction of an initial/terminal object that I've tried has failed for some reason or another. Maybe I'm thinking about the question in the wrong way.
An object of $S \downarrow U$ is an $S$-pointed graph, so there definitely is an initial object: which $S$-pointed graph has a unique $S$-embedding into every graph?
If you allow loops, there also is a terminal object: which $S$-pointed graph admits a unique $S$-homomorphism from any graph?