Here is how i understand the question and the framework.
Let $n\ge 2$ be a fixed natural number. We consider the polynomial ring $R$ over $\Bbb Q$ generated by transcendental variables $y_1,y_2,\dots,y_n$,
its field of fractions $L$, and the subfield $K$ of $L$ generated by $y_1^2,y_2^2,\dots,y_n^2$:
$$
\begin{aligned}
R &= \Bbb Q[y_1,y_2,\dots,y_n]\ ,\\
K &= \Bbb Q(y_1^2,y_2^2,\dots,y_n^2)\ ,\\
L &= \Bbb Q(y_1,y_2,\dots,y_n)\ .
\end{aligned}
$$
Let $L[X]$ be the polynomial ring over $L$ in the transcendental variable $X$.
The extension $L:K$ is algebraic, of degree $2^n$, in a tower of quadratic extensions of degree two,
and the Galois group $G$
is generated by the morphisms $(\psi_j)_{1\le j\le n}$. Here, $\psi_j$ sends $y_j$ to $-y_j$ and invariates all other generators of $L$.
(Think of $y_j$ as $\sqrt{x_j}$ in OP terminology.)
We consider the index set $J=\{+1,-1\}^n$ of all $n$-tuples $\mu$
with entries in the set of signs $\{+1,-1\}$. Each $\mu\in J$ has a product
of the components, $\Pi\mu$, and we define
$$
\begin{aligned}
J(P) &= \{\ \mu\in J\ :\ \Pi \mu=+1\ \}\ ,\\
J(Q) &= \{\ \mu\in J\ :\ \Pi \mu=-1\ \}\ ,\\[2mm]
P &= \prod_{\mu\in J(P)}(X-\mu\cdot y)\ ,\qquad\text{ where }
\mu\cdot y:=\mu_1y_1+\mu_2y_2+\dots+\mu_ny_n\ ,\\
Q &= \prod_{\mu\in J(Q)}(X-\mu\cdot y)\ ,\\
f &=\frac 12(P+Q)\ .
\end{aligned}
$$
The sets $J(P), J(Q)$ have each the cardinality
$$d:=2^n/2\ ,$$
so $P,Q,f$ have degree $d$.
The given definition of $P,Q$ make them invariant under the Galois group $G$.
The symmetric group $S=S(n)$ of substitutions / permutations of the generators also acts.
So as mentioned, the coefficients of the $X$-powers in $P,Q,f$ are invariated by $S$, so they are polynomials in the elementary symmetric polynomials in the $y$-variables. The standard notation for these elementary symmetric polynomials is $e_1,e_2,\dots, e_n$, so i will also use this notation. We write $E_1,E_2,\dots,E_n$ for $e_1,e_2,\dots,e_n$ computed in the squares $y_1^2,y_2^2,\dots,y_n^2$. By abuse of notation, we also allow $E_1,E_2,\dots,E_n$ to be independent variables, potentially with no relation to the symmetric functions.
So there are "universal polynomials" $U(P),U(Q), U(f)$ in the variables
$X,E_1,E_2,\dots,E_n$ with:
$$
\begin{aligned}
P &= \prod_{\mu\in J(P)}(X-\mu\cdot y)=U(P)(X;E_1,E_2,\dots,E_n)\ ,\\
Q &= \prod_{\mu\in J(P)}(X-\mu\cdot y)=U(Q)(X;E_1,E_2,\dots,E_n)\ ,\\
f &= \frac 12(P+Q)=U(f)(X;E_1,E_2,\dots,E_n)\ .
\end{aligned}
$$
In the question the following polynomial $F$ is considered, and recall that by abuse we use now $E_1,E_2,\dots,E_n$ as independent variables with no connection to the initial $y$-variables:
$$
F:=
U(f)(X;E_1,E_2,\dots,E_{n-1},E_n) -U(f)(X;E_1,E_2,\dots,E_{n-1},0) \ .
$$
We have to prove:
Claim: The $X$-degree of $F$ is $d-2n$, its $X$-coefficient in this degree is
$$cE_n\ ,\qquad c \in \Bbb Z\ $$
and $c$ is a number divisible by $64$.
Proof of the claim:
- We first look which are the changes in $P,Q,f$ when we replace $X$ by $-X$. There are two cases, $n$ even, and $n$ odd. In each case we use the substitution $\nu=-\mu$, where the minus sign is propagated to each component.
So we have $\Pi\nu=(-1)^n\Pi\mu$. In the even case $\mu,\nu$ belong to the same component $J(P)$ or $J(Q)$, in the odd case they are in different components. So we compute:
$$
\small
\begin{aligned}
&n\text{ even:} &
P(-X) &
= \prod_{\mu\in J(P)}(-X-\mu\cdot y)
= \prod_{\mu\in J(P)}(X+\mu\cdot y)
= \prod_{\nu\in J(P)}(X-\nu\cdot y) =P(X)\ ,\\
&&
Q(-X) &
= \prod_{\mu\in J(Q)}(-X-\mu\cdot y)
= \prod_{\mu\in J(Q)}(X+\mu\cdot y)
= \prod_{\nu\in J(Q)}(X-\nu\cdot y) =Q(X)\ ,\\[2mm]
&n\text{ odd:} &
P(-X) &
= \prod_{\mu\in J(P)}(-X-\mu\cdot y)
= \prod_{\mu\in J(P)}(X+\mu\cdot y)
= \prod_{\nu\in J(Q)}(X-\nu\cdot y) =Q(X)\ ,\\
&&
Q(-X) &
= \prod_{\mu\in J(Q)}(-X-\mu\cdot y)
= \prod_{\mu\in J(Q)}(X+\mu\cdot y)
= \prod_{\nu\in J(P)}(X-\nu\cdot y) =P(X)\ .
\end{aligned}
$$
So in both cases $f=\frac 12(P+Q)$ satisfies $f(X)=f(-X)$, so it lives only
in even $X$-degrees.
$F$ collects from $U(f)$ exactly the monomials that contain $E_n$ to the power at least one. For instance monomials like $E_n$, $E_1E_2^2E_n^3$, $E_1^{100}E_2E_3^{27}E_n^4$ may survive. Seen as polynomial in the $y$-variables we use the weight $2j$ for $E_j$. For $X$ we use the weight one. With this weight system, $U(P),U(Q),U(f), F$ have total weight $d=2^n/2$.
The maximal $X$-degree where $E_n$ is present is $d-2n$, and the corresponding monomial is
$$ c\; E_nX^{d-2n}\ .$$
This shows the wanted relation $F\in O(X^{d-2n})$.
It remains to show the wanted divisibility property for $c$, which is in fact the main problem. The key observation is that if we consider the $E$-variables $E_1,E_2,\dots,E_n$ with no relation to the $y$-variables, then the term $cE_nX^{d-2n}$ is also present in the specialization with zero of the $E$-variables, all but the last one: $$
U(f)(X;0,0,\dots,0,E_n)=X^d+c\;E_n X^{d-2n}+\text{(lower terms in degrees $<d-2n$) .}$$
When we also specialize $E_n=0$ and subtract we obtain
$$
\begin{aligned}
F(X;0,0,\dots,0,E_n)
&=U(f)(X;0,0,\dots,0,E_n)-
U(f)(X;0,0,\dots,0,0)
\\
&=c\;E_n X^{d-2n}+\text{(lower terms in degrees $<d-2n$) .}
\end{aligned}
$$So we need the term in $X$-degree $d-2n$ from $U(f)(X;0,0,\dots,0,E_n)$.
And it is enough to further specialize $E_n$ to a value like $\pm 1$ to isolate $c$. So we compute the simpler expression, which is an $X$-polynomial:
$$F(X;0,0,\dots,0,\pm 1)\ .$$
For this we may specialize the initial values of $y_1,y_2,\dots,y_n$ so that the squares $y_1^2,y_2^2,\dots,y_n^2$ are the complete set of
the roots of unity of order $n$. (This leads to the computation of
$F(X;0,0,\dots,0,\pm 1)$.)
So we are exactly in the setting of the related question:
MSE 5019227
More exactly, let $z_1,z_2,\dots,z_n=-1$ in cyclic order be the first $n$ roots of the one of order $2n$. Here $z_j=\exp(2\pi ij/(2n))$. These are the notations used in my answer to MSE 5019227. We specialize these values in the present setting. When plugging in this system, we formally write $z$ for the system $z=(z_1,z_2,\dots,z_n)$, and $z^2$ for the system $(z_1^2,z_2^2,\dots,z_n^2)$.
With these notations observe that:$$
\begin{aligned}
0 &= e_1(z^2) = E_1(z)\ ,\\
0 &= e_2(z^2) = E_2(z)\ ,\\
&\vdots\\
0 &= e_{n-1}(z^2)=E_{n-1}(z)\ ,\\
\pm1 &= e_n(z^2) = E_n(z)\ ,\\
P(X,z) &= \prod_{\mu\in J(P)}(X-\mu\cdot z)
\\
&=U(P)(X;E_1(z),E_2(z),\dots,E_{n-1}(z),E_n(z))
\\
&=U(P)(X;0,0,\dots,0,\pm 1)
\ ,\\
Q(X,z) &= \prod_{\mu\in J(Q)}(X-\mu\cdot z)
\\
&=U(Q)(X;E_1(z),E_2(z),\dots,E_{n-1}(z),E_n(z))
\\
&=U(Q)(X;0,0,\dots,0,\pm 1)
\ ,\\
f(X,z)
&=\frac 12(P(X,z)+Q(X,z))
\ .
\end{aligned}
$$
- In my answer to MSE 5019227, the above polynomial was explained, it is a polynomial of the shape $$
X^d + cX^{d-2n}+\text{(lower terms)}\ ,$$
and $c$ (from there, which is $\pm c$ from here) satisfies a refined divisibility condition w.r.t. powers of $2$.
$\square$