I found this equation in Winning Ways Volume 4:
$$☽+0=☽+*1=☽+*2=...=☽+☽=☽$$
From what I understand, this means ☽ is idempotent (I'm currently trying to learn more about loopy games & idempotents).
From what I can tell there are levels of idempotency & an idempotent could satisfy x+x=x &/or x*x=x.
The loopy idempotent games I am currently aware of are 0, on, off, dud, over & tiny.
Master idempotents seem to be the supremum of some set of idempotents ("absorbing" all others in the set). The example given in CGT - Siegel is based on multiplication (& a finite ring) & the ☽ formula is in terms of addition (& seems to include a non-finite structure?), but I think there must be some equivalence between them.
Is ☽ a master idempotent? I think the answer is clearly yes. I'm not sure if ☽ + n = ☽ holds for all values of n (like $\uparrow$, tiny, on, etc.) or if there any exceptions. Additionally, does ☽ satisfy $☽n=☽$? $☽^☽=☽$? I suppose my underlying question is more "Is ☽ a type of master master idempotent? / Is there a supremum of master idempotents?"
Is $☽^{o}=☽$? My guess is yes, but I'm not 100% certain.
I'm also not sure if equations like $☽=\{☽\}$ & $☽=\{☽|☽\}$ are valid for ☽ or not.
General Advice
(This section doesn't directly address your questions, but I think it's relevant to their source.)
Contexts
The question talks about mathematical objects and notations in a wide variety of (partially-overlapping) contexts, and it will be important to keep them clear, so I will do my best to list them here. I will follow Siegel in using "game" to refer to a game position like $*3$ (as opposed to a "ruleset" like Nim).
Questions and Answers
Quick Answers
Idempotence of ☽
It is true that $☽+☽=☽$ means that the equivalence class represented by $☽$ is idempotent under the non-quite-disjunctive sum that $+$ signifies in context #1.
Since context #1 has no loopy games, any context-#2 discussion of idempotent loopy games is completely unrelated to this idempotence of $☽$.
Loopy idempotents
Yes, those are all idempotent (possibly-)loopy games. $\spadesuit$ is another, I believe.
Since context #2 has no entailing moves (and has partizan games), these are in no way related to $☽$.
Degree
The short answer is that $☽$ doesn't arise in the context of loopy games, so how could it have a degree of loopiness?
More precisely, since $G^\circ$ is defined in terms of an upsum, and $☽$ doesn't represent anything partizan, I'd say $☽^\circ$ isn't even defined. (And if you were to say that upsum should just be disjunctive sum in the nonloopy case and that the negative $\overline{☽}$ is just $☽$ in the impartial case, I'd still say it's undefined, because games with entailing moves aren't really using disjunctive sum.)
Adding $n$
With the debatable exception of $n=*m$ for some nonnegative integer $m$, the expression $☽ + n$ isn't even defined. This is because $☽$ in context #1 is basically an equivalence class of impartial games with special entailing moves where $+$ doesn't have its usual disjunctive-sum-related meaning(s), and things like $\uparrow$, $\mathbf{tiny}$, and $\mathbf{on}$ (context #2) are partizan games (or equivalence classes thereof under disjunctive sum) with no contextual concept of entailing moves.
Other operations
Multiplication is typically only defined for nimbers or surreal numbers, so $☽n$ isn't defined for any $n$. (If you meant to take things like $☽4$ to mean $☽+☽+☽+☽$, then sure, under that iterated addition meaning, for positive integer $n$ only, we have $☽n=☽$.)
Arbitrary binary exponentiation is typically only defined for...I guess positive integer( surreal)s? Maybe positive rational( surreal)s? In any case, $☽^☽$ is not even close to being defined.
Set notations
There are many things you might mean by this notation, but they either aren't defined, or at best, are false.
Usually, when $☽$ is thought of as a set, it's a set of nimbers in context #1. Viewed as a set that way, $☽=\varnothing$. So it can't be $\{☽\}$. Worse still, since $☽$ isn't a nimber, $\{☽\}$ isn't a set among the sets of nimbers that help us analyze games with entailing moves in context #1.
However, if you meant for $\{☽\}$ to suggest something like "a game where all moves are to a position with value $☽$" (you'd have to explain that that's how you're using the set notation) then $\{☽\}$ makes some sense, but would not be equal to $☽$ since maybe someone could win by not moving in that component.
For $\{☽\mid☽\}$, things are similar to the above discussion, but worse in the sense that I don't think anyone has defined partizan games with entailment, so this would seem to be meaningless.
Master Idempotents
What is a (master) idempotent?
Sure. Whatever binary operation you're looking at, a thing $x$ could be idempotent if when you do the operation with $x$ and $x$, you get $x$ as the result.
Making the obvious generalization beyond context #3, Siegel defined a "master idempotent" (albeit in scare quotes since this was not a term he used more than once) of a finite commutative semigroup to be the product/sum of all of the idempotents.
I suppose this is a matter of opinion, but I'd say there aren't; something either is idempotent or it isn't. I expect that Siegel didn't intend to convey that the master idempotent was somehow more idempotent than the other idempotents, just that it was kind of a "master" of them in that if $z$ is the master idempotent and $x$ is an idempotent, then $zx=z$. To quote the OP, "'absorbing' all others in the set".
I honestly don't know what this is intended to mean. A master idempotent is necessarily unique.
Master idempotents in other contexts?
In context #2, while there aren't only finitely many idempotents so that the above definition doesn't apply as-written, one might argue that $\mathbf{dud}$ is the master idempotent since $\mathbf{dud}+x=\mathbf{dud}$ for any game $x$.
In context #1, I don't think it's immediately clear. I'd have to think through how games and their values work in this context. But I expect that $☽$ could very well be the master idempotent.
Suprema
It's not clear to me how supremum is being used in the OP. It's just a least upper bound under a relevant ordering. The supremum of $\{1,3,5\}$ is $5$.
Under the ad-hoc partial order where $x\le y$ if and only if $xy=x$, then yes, a master idempotent is the maximum and hence the supremum of all of the idempotents.
Under the standard ordering of games in context #2 by favorability to the player Left, the master idempotent $\mathbf{dud}$ would not seem to be a supremum of any useful set of idempotents, since the fundmental idempotent $\mathbf{on}$ is not less than $\mathbf{dud}$.
A master idempotent is necessarily unique, so the supremum of the singleton set of master idempotents is the one master idempotent, I guess.