Here is how I think about differentials and infinitesimals: Warning: this might confuse you.
I see $d$ as an operator that makes a normal sized expression (like -5, 2, 2^10) into an infinitesimal number. I even found rules to deal with higher-order infinitesimals like $d^3 x$ and $(dx)^3$, but what you need to know are: "normal sized number * infinitesimal = infinitesimal" and "infinity * infinitesimal = normal sized number".
$\int$ repeatingly adds an expression infinite number of times, and if you say something like
$\int (x+1)^2$, then the answer doesn't converge info a normal-sized number because normal sized number * infinity = infinity.
However, the expression $\int (x+1)^2 dx$ makes sense because infinity * infinitesimal = normal sized number.
What about $\int (x+1)^2 ds$? This integral doesn't reduce to anything if the variable $s$ isn't defined, but what if we explicitly define $s$ is defined in term of $x$? For example, $s = x+1$, then $\int (x+1)^2 ds = s^3/3 + C = (x+1)^3/3 + C$.
I also treat $d$ as an operator that binds to an expression, not variable. We can say $ds = d[x+1]$. So the integral becomes $\int (x+1)^2 d(x+1) = (x+1)^3/3+C$.
Now let's see how to do your integral without introducing a variable u:
$\int 4x^5 (x^2 + 1)^{1/3} dx = \int (4x^3/3) (3 x^2dx) (x^2 + 1)^{1/3}$
Since $d[x^3 + 1]/dx = 3x^2$, then $d[x^3 + 1] = 3x^2 dx$:
$\int (4x^3/3) (3 x^2dx) (x^2 + 1)^{1/3} = \int (4x^3/3) d[x^3 + 1] (x^2 + 1)^{1/3}$
Since $(4/3)(([x^3+1] - 1)[x^3+1]^{1/3} = (4/3)x^3[x^3+1]^{1/3}$, we can rewrite:
$\int (4x^3/3) d[x^3 + 1] (x^2 + 1)^{1/3} = \int (4/3)([x^3+1] - 1)[x^3+1]^{1/3} d[x^3 + 1] $.
If we replaces all instances of $[x^3+1]$ into $u$ (remember, $d[x^3+1]$ becomes $du$), then we get integration by u-subsitution.
See also: http://www.math.vanderbilt.edu/~schectex/commerrs/#Differentials