First, we use the definition of the Euler-Mascheroni number
$$\gamma =\lim_{n\to \infty}\left(\sum_{k=1}^n\frac1k-\log n\right) \tag 1$$
Next, we write the sum of interest as
$$\begin{align}
\sum_{k=0}^{n}\frac{1}{pk+1}&=1+\frac1p \left(\sum_{k=1}^n\left(\frac{1}{k+1/p}-\frac1k\right)+\sum_{k=1}^n\frac1k \right)\\\\
&=1+\frac1p \sum_{k=1}^n\left(\frac{1}{k+1/p}-\frac1k\right)+\frac1p\left(\sum_{k=1}^n\frac1k -\log n\right)+\frac1p\log n\\\\
\sum_{k=0}^{n}\frac{1}{pk+1}-\frac1p\log n&=1+\frac1p \sum_{k=1}^n\left(\frac{1}{k+1/p}-\frac1k\right)+\frac1p\left(\sum_{k=1}^n\frac1k -\log n\right)\\\\
&=1+\frac1p \sum_{k=1}^n\left(\int_0^1x^{k+1/p-1}\,dx-\int_0^1x^{k-1}\,dx\right)\\\\
&+\frac1p\left(\sum_{k=1}^n\frac1k -\log n\right)\\\\
&=1+\frac1p \left(\int_0^1\frac{x^{1/p}-1}{1-x}\,dx\right)+\frac1p\left(\sum_{k=1}^n\frac1k -\log n\right) \tag 2\\\\
\end{align}$$
For $p=3$, we can evaluate the integral in $(2)$ in closed form. Proceeding, we enforce the substitution $x\to x^3$. Then,
$$\begin{align}
\int_0^1\frac{x^{1/3}-1}{1-x}\,dx&=3\int_0^1\frac{(x-1)x^2}{1-x^3}\,dx\\\\
&=-3\int_0^1\frac{x^2}{x^2+x+1}\,dx\\\\
&=-3+\frac{\pi\sqrt{3}}{6}+\frac32 \log 3 \tag 3
\end{align}$$
Using $(3)$ in $(2)$ with $p=3$ and taking the limit as $n\to \infty$ yields
$$\bbox[5px,border:2px solid #C0A000]{\lim_{n\to \infty}\left(\sum_{k=0}^{n}\frac{1}{3k+1}-\frac13\log n\right)=\frac 13\gamma +\frac{\pi\sqrt{3}}{18}+\frac12 \log 3}$$
as was to be shown.
For values of $p\in N$ different from $3$, one can still carry out the integral in $(2)$ and arrive at the limit
$$\bbox[5px,border:2px solid #C0A000]{\lim_{n\to \infty}\left(\sum_{k=0}^{n}\frac{1}{pk+1}-\frac1p\log n\right)=\frac 1p\gamma +\int_0^1\frac{1-x^{p-1}}{1-x^p}\,dx} \tag 4$$
NOTE:
Using Gauss's digamma theorem, we can evaluate the right-hand side of $(4)$ in closed form. We obtain
$$\begin{align}
\lim_{n\to \infty}\left(\sum_{k=0}^{n}\frac{1}{pk+1}-\frac1p\log n\right)=\frac 1p\gamma +\frac1p\left(\log (2p)+\frac{\pi}{2}\cot\left(\frac{\pi}{p}\right)-2\sum_{k=1}^{\lfloor\frac{p-1}{2}\rfloor}\cos\left(\frac{2\pi k}{p}\right)\log\left(\sin\left(\frac{\pi k}{p}\right)\right)\right)
\end{align}$$