The question title doesn't fully capture my question, so I will clarify:
Assume we have the structure of natural numbers: $$(\mathbb N, +,0,1)$$
We know from theorems in mathematical logic, that we cannot use first order predicate logic to fully characterize this structure with a set of axioms. Yet second order logic is incomplete (not all true statements can be proven).
As far as I understand it, in axiomatic set theory we use first order logic, which is complete, but we quantify over a domain that contains both sets and urelements, thereby allowing us to state things in first order logic that would normally require second order logic (I am not saying that this is the purpose of axiomatic set-theory, but merely that it is true).
But to simplify, we don't need to study the domain of all mathematical objects as set theory does. We can also formulate the structure:
$$(\mathbb N,\mathcal P(\mathbb N), +,0,1,\in)$$
and then use first order logic on this structure. I assume that the standard proof calculus for this is complete, as it has been shown to be complete for first order logic?
If so, then my question is:
What is the difference between $$ \begin{align} \text{applying second-order logic to } \quad &(\mathbb N, +,0,1) &\quad \text{ and}\\ \text{applying first-order logic to } \quad &(\mathbb N,\mathcal P(\mathbb N), +,0,1,\in)& \end{align} $$
- Is there a difference?
- How do we make sense of first-order-logic-completeness, and second-order-logic-incompleteness, if there is no difference?
This question is predicated on a misunderstanding of the meaning of completeness. That first-order logic is complete means that given a set of axioms, every sentence that is true in every model of those axioms has a proof (in each of the usual proof systems for first-order logic).
Your question has only a single particular model and no specification of any axioms at all, so completeness does not bear on it.
But there's more: That first-order logic is complete does not mean that a particular first-order theory is also complete. Completeness means something different for theories than for logics: A complete theory is one that is strong enough to either prove or disprove every sentence in its language.
It is perfectly possible to have such a theory in a complete logic. For example, take the first-order theory of groups: it neither proves or disproves $\forall a\forall b(ab=ba)$, so it is incomplete. This does not contradict the logic being complete, because neither $\forall a\forall b(ab=ba)$ not its negation is true in all models: there exist both abelian as well as non-abelian groups.
It is possible to write down a two-sorted first-order theory in the language $\{0,1,{+},{\cdot},\in\}$ whose theorems are the same as the ones second-order arithmetic proves. This theory will be an incomplete theory, meaning that it has models that are essentially different from $(\mathbb N,\mathcal P(\mathbb N))$.
Finally, note that your particular structure $(\mathbb N,+,0,1)$ can be completely (and effectively) axiomatized in first-order logic: Presburger arithmetic does that. The famous essential incompleteness of theories of the natural numbers only arises if you want a theory that speaks about both addition and multiplication.