I must confess that I didn't mean to cause so much controversy. My presentation of the initial and final embeddings was intentionally simplified: I removed the parts that were not relevant as far as Ken's paper was concerned. In that simplified introduction, the final embedding indeed looks very much like the `shallow' embedding. However, generally we want to interpret a term in several ways. Therefore, in the full definition, the final embedding includes the parameterization over the 'repr' type, and, crucially, repr is a type constructor.
The extensive discussion of the final embedding can be found in the paper, written with Jacques Carette and Chung-chieh Shan: http://okmij.org/ftp/
the categorical interpretation.
Is the co-algebraic structure final, that is, does it correspond to the terminal object in some category? It seems that could be the case at least in simple cases; for example, see http://okmij.org/ftp/
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