Introduction
Inspired by the work of Olivier Oloa [1] and the question of Vladimir Reshetnikov in a comment I succeeded in calculating the closed form of the sum
$$s_m = \sum _{k=1}^{\infty } \frac{\left(H_k\right){}^m-(\log (k)+\gamma )^m}{k}\tag{1}$$
for $m=3$.
The cases known (to me) are
$$s_1 = -\gamma _1+\frac{\pi ^2}{12}-\frac{\gamma ^2}{2}= 0.728694...\tag{2a}$$
$$s_2 = -2 \gamma \gamma _1-\gamma _2+\frac{5 \zeta (3)}{3}-\frac{2 \gamma ^3}{3}= 1.96897 ...\tag{2b}$$
$$s_3 =-3 \gamma ^2 \gamma _1-3 \gamma \gamma _2-\gamma _3+\frac{43 \pi ^4}{720}-\frac{3 \gamma ^4}{4}=5.82174 ...\tag{2c}$$
Here $\gamma$ is Euler's gamma, and $\gamma_k$ is Stieltjes gamma of order k.
Notice that $s_2$ was calculated in [1]. For a check of my method I calculated all three cases.
Inspecting the available cases $m=1, 2, 3$ I tentatively propose here a general formula for the closed form of $s_m$.
$$ s_{m}= -m \sum _{j=1}^{m-1} \gamma ^j \gamma _{m-j}+a_m \zeta (m+1)-\gamma _m-\frac{m }{m+1}\gamma ^{m+1}\tag{3}$$
Here the coefficients are
$$a_1=\frac{1}{2},\; a_2=\frac{5}{3},\; a_3=\frac{43}{8}\tag{4}$$
With only three terms of $a_k$ OEIS [2] returns of course too many choices to be able to identify the sequences. And what's more, I don't know if the true sequence is contained in OEIS at all.
Unfortunately, I could not extend my method to $m=4$.
Questions
Prove the formula for $s(3)$
Calculate $s(4)$ and verify and try to complete (3)
References
[1] A closed form of the series $\sum_{n=1}^{\infty} \frac{H_n^2-(\gamma + \ln n)^2}{n}$