> I don't think that any such example exists, and for good reason. The failure of concretizability is a subtle phenomenon that has nothing to do with abstract algebraic ideas and is instead entirely about size issues (that is, the distinction between sets and proper classes).
To illustrate this last point, if you ignore size issues, then every category is concretizable. Given a category C, you can get a faithful functor to sets by sending each object a to the set F(a) of all morphisms to a. Given a morphism a→b, you get a map F(a)→F(b) by taking any morphism to a and just composing it with the morphism a→b. (Note that this construction is exactly the generalization of the usual proof of Cayley's theorem on groups to general categories.)
Now, this doesn't actually work in general if C is a large category, since the "set" F(a) of all morphisms to a may actually be a proper class. But this does show that any small category is concretizable, and any failure of concretizability has to be about size issues. In other words, it has nothing do with sets and their structure per se (any category would be concretizable if you were allowed to use sufficiently large "sets"). Rather, it must have to do with the structure of the category being in some sense "too large" to embed in the category of small sets.