It seems a perfect example of Privileging the Hypothesis, and closely related to Pascal’s Wager (or even more closely to Pascal’s Mugging). The possibility of Roko’s Basilisks make up a very tiny slice of an enormous number of possible outcomes. I would expect that the vast majority of outcomes do not involve any sort of retrocausal blackmail at all, largely because it is both a very narrow target and worthless to whatever entity arises.
Anyone who has the power to cause such an entity to exist has nothing to gain by doing so and an enormous amount to lose, and such an entity is extremely unlikely to arise by accident. So the only scenarios in which such a thing arises would be where nobody even slightly rational is trying to create one, but through extremely unlikely misfortune they missed catastrophically and ended up with one anyway. In which case, like all other cases of such catastrophic failure, bad things happen and there’s nothing that you or any other human could do about it anyway.
Either way, there’s no reason to think much about such an unlikely thing that is impossible to do anything about if it happens, much like all the other things that are extremely unlikely and you can’t do anything about.
There are numerous set theories that allow “set of all sets”, the most well-known of which is probably New Foundations (NF). There are also some theories such as Morse-Kelley theory that have both classes and sets, and include a class of all sets.