It's been a long while since I've looked at my thesis, so a lot of my knowledge is pretty rusty, but here goes.
If you're looking for the circuit representation of $C_8$, here's the Quirk simulation for it. The first two columns prepare the state $|\phi_0\rangle = \frac{1}{\sqrt{2}}(|001\rangle+|111\rangle)$ in big-endian order (the dominant convention years back), which in Quirk is $\frac{1}{\sqrt{2}}(|100\rangle+|111\rangle)$ because it uses little-endian order.
One important difference from your Quirk simulation is that only 6 qubits are needed, 3 for each register. The circuit shown in the figure was meant to display the generic circuit for any $N=2^n$ (it looks like it was missing a few vertical dots to between the second and third qubits of each register to denote the generalisation), not $N=2^3=8$ specifically. Note also how the L (left-rotation) and R (right-rotation) operators are defined.
To make sense of the results, the qualitative way of looking at this is that the initial state $|\psi_0\rangle=|0\rangle|\otimes|\phi_0\rangle$ means that we start at the vertex 0 on the graph $C_8$, with a half-half mixture of the edge states on said vertex. So when we propagate the edge states, we'd expect the amplitudes to shift to the adjacent vertices $|100\rangle$ and $|111\rangle$ (in little-endian) after one time-step. Measuring the probability of being on a particular vertex is done by measuring the probability distribution over the first register of qubits (the first 3 in this instance). From the output of the Quirk circuit, we see a 50% probability on the adjacent vertices, which matches the expectation.
We can also inspect this analytically.
The Szegedy operator is defined as $U_{walk}=S(I-2\Pi)$, where the swap operator $S$ acts as $S|i,j\rangle=|j,i\rangle$, and $\Pi=\sum_{i=0}^{N-1}|\psi_i\rangle\langle\psi_i|=\sum_{i=0}^{N-1}(|i\rangle\otimes|\phi_i\rangle)(\langle i|\otimes\langle\phi_i|)$.
With the initial state $|\psi_0\rangle=|0\rangle|\otimes|\phi_0\rangle$, and given that $\langle\psi_i|\psi_j\rangle=\delta_{i,j}$, it can be easily shown that $U_{walk}|\psi_0\rangle=-|\phi_0\rangle\otimes|0\rangle$, which matches the qualitative expectation, and the Quirk circuit output.
I hope that helps! :)
-Thomas
$\phi$
will be a $\phi$. $\endgroup$