In my notes, Cayley's theorem reads:
Any group $G$ is isomorphic to a subgroup of $\text{Sym}\, X$ for some $X$.
On the other hand, several sources (such as Wikipedia) give a slightly more precise statement:
Any group $G$ is isomorphic to a subgroup of $\text{Sym}\, G$.
Is there a reason why we don't specify what $X$ is in the first case? I guess the "point" of the theorem is that any group can be related to the symmetric groups, so in some sense it doesn't really matter what $X$ is, but I'd like to be sure there is not something deeper under all this.
All that's important is that G embeds in the symmetries of a set X.
The set can be taken to be the underlying set of G, but the fact that G is a group does not come into play when defining Sym(G). (It does of course come into play when you seek to find an embedding of G into Sym(G) ). G could be replaced with any other set of the same (or larger) cardinality.
The representation you get when doing this is just one particular representation of G as a group of symmetries. Why would one ignore the rest? :) it's analogous to making a ring R a right module over itself. This leads to the regular representation of R, but R has many other representations aside deform the regular one.
One can also view such a representation of G as a functor of the category G (with one element) into the category of sets.