if $ \frac{n}{2}\left(1-\sqrt{1- \frac{(k-0.5),}{n}}\right)\le k < \frac{n}{2}\left(1-\sqrt{1- \frac{(k+0.5) }{n}}\right)$ for all $n \in \mathbb N$ then
$\sqrt{1- \frac{(k+0.5) }{n}} > 1- \frac{2k}n \ge \sqrt{1- \frac{(k-0.5)}{n}}$
$1- \frac{(k+0.5) }{n} > 1 -\frac {4k}n + \frac {4k^2}{n^2} \ge 1- \frac{(k-0.5)}{n}$
$k - \frac 12 \le 4k -\frac {4k^2}n < k-\frac 12$
As $k \in \mathbb N$ that is simply
$k = 4k - \frac {4k^2}n$
Or $4k^2 - 3kn = k(4k-3n) = 0$. So $k=0$ or $k = \frac {3n}4$ for all $n\in \mathbb N$. No single value can equal $\frac {3n}4$ for all values of $n$.
This leads to the eternal question is $0$ natural. If it is then $n= 0$ is acceptable and we can not solve for $n=0$. So if $0$ is a natural number there is no solution for $k$ when $n=0$. If $0$ is not a natural number then $k=0$ although a solution for all natural $n$ is not an acceptable solution.
Hence your set is $\emptyset$.