That is, was the dissonance of a spiritual, ascetic movement taking root in the heart of worldliness and culture in the Western world something the early Christians themselves were aware of, and,if so, how did they comment upon it?
Firstly, this kind of retreat from the world is found amongst the Essenes, and perhaps other groups, but was not common in Judaism, and is now entirely absent. Secondly, it is part of a social change that occurred within Roman culture in the third century AD. There was a flight from the public sphere and from the political arena, into a kind of group retreat, where people studied philosophy. So it isn’t some weirdness that separates Christians from Romans, it’s something Christians eventually learnt from Romans.
Your second question is harder to handle. We can see how Christianity taps into a whole variety of things in the Roman world, such as the mystery religions, with their stress on new life or various forms of life after death, or the monotheistic religions such as Mithraism, or Zoroastrianism, and various other social and religious factors or movements. Christianity isn’t as far removed from the Roman world as it looks, because our picture of the Roman world is the Sunday School version - true as far as it goes, but a lot of the complexity is missed out