Greatest fixpoint of the type of lists
The greatest fixed point cannot contain only the infinite lists, because it must contain all the elements of the least fixed point (and every other fixed point). Another way to see this is that just the infinite lists are not even a fixed point, since applying $F$ will add $\mathrm{Nil}$, which is not infinite.
However, adding the infinite lists is the right thing to do. I'm not familiar with the book you're reading at all, so I don't know exactly how this would be realized in its setting. For instance, I don't know what $\mathrm{Cons}$ and $\mathrm{Nil}$ are intended to be exactly as operations on $\mathcal{U}$ (or what $\mathcal U$ consists of). But the idea would likely be that $\mathcal U$ has both finite and infinite things built completely out of them, the least fixed point collects just the finite ones, and the greatest fixed point collects all of them.