I'm currently doing a reading project under a PhD student. It's a fairly advanced topic that isn't taught at the undergraduate level. (For more context the project will be on the basics of "The General Theory of Relativity" which is usually a first or second semester subject in masters) We're doing a series of lectures + problems. If I mentioned this in my CV/SoP/interview will an admissions committee view this in a positive light? Will this be a good addition to my CV?
You should certainly list it, whether it is treated as a big deal or not. It won't have a negative impact. But if it is a formal course with evaluation and a grade, then it probably also shows up on your transcript. In that case, listing it again, probably has less value.
But, in an application for grad study, you could list it as part of your motivation for current study in some appropriate place. Certainly a willingness to learn "beyond the curriculum" is a good thing.