I got curious about this today when looking for sets to proove aren't $\Sigma_1$ as exam prep.
Unlike with its complement, FIN, a run of the mill contradiction was not easy to come by (perhaps I'm being stupid), and the infinite domains of the functions don't necessarily intersect, so I see no way to diagonalise out. My next line of attack was to show:
$$a \in \text{INF} \iff \forall m \exists n,s: (n > m) \land \varphi_a^s(n) \downarrow$$
So INF is $\Pi_2$. If it's $\Pi_2$ complete, then INF $=_T 0''$, which contradicts that any $\Sigma_1$ set turing reduces to $0'$. But I've not had any luck prooving this completeness, nor the equivalent condition that FIN is $\Sigma_2$ complete.
Yes, INF is $\Pi^0_2$ complete. You can prove this by a small variation the same reduction from the reduction here.
You can also prove the weaker result that INF is not $\Sigma^0_1$ by diagonalization. Here is the construction, and then a verification.
Construction
Suppose $W$ is an arbitrary r.e. set. Let $e$ be a program that does the following. On input $k$, $e$ first simulates the enumeration of $W$ for $k$ timesteps. If $e$ finds that its own index $e$ is not enumerated into $W$ within $k$ timesteps, then $e(k)$ halts. Otherwise, if $e$ is enumerated into $W$ in $k$ timesteps, then $e(k)$ does not halt. The circularity here (that $e$ knows its own index) is easy to resolve with the recursion theorem.
Verification
First suppose $e \in W$. Then there is some $k$ for which $e$ is enumerated into $W$ in $k$ timesteps. Then $e(n) \uparrow$ for all $n \geq k$, so $e \not \in \text{INF}$.
Conversely, suppose $e \not \in W$. Then $e(k)\downarrow$ for all $k$, so $e \in \text{INF}$.
Overall, $e \in W \leftrightarrow e \not \in \text{INF}$.
Here $W$ was an arbitrary r.e. set, so in particular INF cannot be an r.e. set, because we would obtain a contradiction if $W$ could be the set INF.