Here are two different proofs of the relation
$$\begin{align}\sum _{n=0}^{\infty } z^n\binom{n+\alpha }{n}(H_{n+\alpha} -H_{\alpha})\\
=(1-z)^{-\alpha -1}\log(\frac{1}{1-z})\end{align}\tag{*} $$
which is equivalent to the claim of the OP.
1. Proof by derivate
We start from the basic binomial relation
$$\sum _{n=0}^{\infty } z^n \binom{n+\alpha }{n} = (1-z)^{-\alpha -1}\tag{1.1}$$
Differentiating $(1.1)$ with respect to $\alpha$ gives
$$\sum _{n=0}^{\infty } z^n \frac{\partial }{\partial \alpha }\binom{\alpha +n}{n} \\
=\frac{\partial (1-z)^{-\alpha -1}}{\partial \alpha }=(1-z)^{-\alpha -1}(-\log(1-z))\tag{1.2}$$
Now
$$\frac{\partial }{\partial \alpha }\binom{\alpha +n}{n}= \frac{\partial }{\partial \alpha }\frac{\Gamma(n+1+\alpha)}{\Gamma(n+1) \Gamma(\alpha+1)}\tag{1.3}$$
where $\Gamma(x+1) = (x)!$ is the gamma function.
Using
$$\frac{\partial \Gamma (y+1)}{\partial y}\\
=\Gamma (y+1) \psi ^{(0)}(y+1)=\Gamma (y+1)(H_y - \gamma)\tag{1.4}$$
where $\psi ^{(0)}$ is the polygamma function, $\gamma$ is Euler's gamma and $H_y$ is the harmonic number with argument $y$ we find
$$\frac{\partial }{\partial \alpha }\binom{\alpha +n}{n}= \binom{\alpha +n}{n}(H_{n+\alpha} -H_{\alpha}) \tag{1.5}$$
Inserting this into $(1.2)$ gives $(*)$. Q.E.D.
2. Proof by integral
Here is my originally first solution showing that the claim of the OP holds good for complex values of $\alpha$ with $\Re(\alpha) \gt -1$ rather than being restricted to non-negative integers values.
We start with the observation that the claim of the OP can be stated in the form
$$\begin{align}
g(z):=\sum_{n=0}^{\infty}z^n \binom{n+\alpha}{n} (H_{n+\alpha}-H_\alpha)\\
= i(z):=\int_{0}^{1} f(x,z) \; dx \\
=r(z):=-(1-z)^{-\alpha -1} \log (1-z)\end{align}\tag{2.1}$$
where
$$f(x,z)=\frac{x^{\alpha } \left((1-z)^{-\alpha -1}-(1-x z)^{-\alpha -1}\right)}{1-x}\tag{2.2}$$
Here and in what follows the parameters are assumed to be restricted to $0 \lt z \lt 1$ and $\Re(\alpha) \gt -1$. Note that $\alpha$ need not be integer.
$g(z)$ is the generating function, $i(z)$ its integral representation, and $r(z)$ the function to which the g.f. should reduce according to the claim of the OP.
Now inserting Euler's representation of the harmonic number, $H_n = \int_{0}^{1} \frac{1-x^n}{1-x}\;dx$ into $g(z)$ and using the basic binomial identity
$$\sum _{n=0}^{\infty } z^n \binom{n+\alpha }{n}=(1-z)^{-(\alpha +1)}\tag{2.3}$$
we can easily confirm that $g(z) = i(z)$, with the integrand $f(x,z)$ given by $(2.2)$.
The tough part for me at first was to show that $i(z)=r(z)$. Mathematica showed that the equality is correct, but how to prove it?
Here's one possibility: first we write the integral as
$$(1-z)^{-\alpha -1} \int_0^1 \frac{x^{\alpha } \left(1-\left(\frac{1-x z}{1-z}\right)^{-\alpha -1}\right)}{1-x} \, dx\tag{2.4}$$
Comparison with $r(z)$ shows that is remains to prove that
$$ i_1(z)=\int_0^1 \frac{x^{\alpha } \left(1-\left(\frac{1-x z}{1-z}\right)^{-\alpha -1}\right)}{1-x} \, dx=-\log(1-z)\tag{2.5}$$
Surprisingly the integral $i_1$ must not depend on $\alpha$.
The trick is now to look at the derivative of $i_1(z)$ with respect to $z$. Taking the derivative under the integral we find the elementary integral
$$\begin{align}
i_1'(z) = (\alpha +1) (1-z)^{\alpha } \int_0^1 \frac{x^{\alpha }}{(1-x z)^{\alpha +2}} \, dx\\
= (\alpha +1) (1-z)^{\alpha }\left(\frac{x^{\alpha +1} (1-x z)^{-\alpha -1}}{\alpha +1}\right)\vert
_{x=0}^{x=1}=\frac{1}{1-z}
\end{align}\tag{2.6}$$
Integrating and observing that $i_1(z=0)=0$ we find $i_1=-\log(1-z)$ and we obtain $i(z) = r(z)$ which completes the solution.
3. Discussion
Generalized relations for generating functions can be easily derived following the lines of proof 1 by going to higher derivatives with respect to $\alpha$.
Skipping the details we have from the second derivative:
$$\begin{align}\sum _{n=0}^{\infty } z^n \binom{n+\alpha }{n} \left(\left(H_{n+\alpha }-H_{\alpha }\right){}^2+\left(H_{\alpha }^{(2)}-H_{n+\alpha }^{(2)}\right)\right)\\
=(1-z)^{-\alpha -1} \log ^2(1-z)\end{align}\tag{3.1}$$
Here we have used this replacement of the polygamma function by the (generalized) harmonic number
$\psi ^{(1)}(1+t)=-(H_t^{(2)} - \zeta(2))\tag{3.2}$
Generally for $m \ge 1$ we have this replacement
$$\psi ^{(m)}(t+1)\to (-1)^m m! \left(H_t^{(m+1)}-\zeta (m+1)\right)\tag{3.3}$$
An so forth. Each derivative generates a new power of $-\log(1-z)$ and a combination of products of generalized harmonic numbers. The $\zeta$-functions from the replacements $(3.3)$ drop out.
The reader is invited to find the general expression for the $k$-th derivative. Here are the first steps towands this goal.
We need the higher drivatives of the polygamma function $\psi(\alpha)^{(k)}$ which we abbreviate as $\psi_k$ and of the gamma function $\Gamma$. The first part is easy. By definition we have
$$\frac{\partial }{\partial \alpha }\psi_k=\psi_{k+1}\tag {3.4}$$
The difficult part is
$$\frac{\partial^k }{\partial \alpha ^k}\Gamma=?$$
The first few derivatives are
$$\frac{\partial}{\partial \alpha }\Gamma=\Gamma \psi_0$$
$$\frac{\partial^2 }{\partial \alpha ^2}\Gamma=\psi_0\Gamma' +\Gamma \psi_1=\psi_0^2 \Gamma +\Gamma \psi_1= \Gamma (\psi_0^2+\psi_1)$$
$$\frac{\partial^3 }{\partial \alpha ^3}\Gamma=\frac{\partial }{\partial \alpha}\Gamma (\psi_0^2+\psi_1)=\Gamma \psi_0(\psi_0^2+\psi_1) +\Gamma (2\psi_0 \psi_1+\psi_2)=\Gamma\left(\psi_0^3 + 3\psi_0\psi_1+\psi_2\right)$$
We can derive a recursion relation for the m-th derivative $\Gamma ^{(m)}$ of $\Gamma=\Gamma ^{(0)}$ as follows: from $\frac{\partial}{\partial \alpha }\Gamma=\Gamma \psi_0$ we have $\frac{\partial^{k+1}}{\partial \alpha ^{k+1}}\Gamma=\frac{\partial^{k}}{\partial \alpha ^{k}}\Gamma\psi_0$
which, by expanding the derivative of the product binomically, leads to the recursion relation
$$\frac{\partial^{k+1}}{\partial \alpha ^{k+1}}\Gamma = \sum_{m=0}^{k} \binom{k}{m}\Gamma^{(m)}\psi_{k-m}\tag{3.5}$$
Notice that the sequence of coefficients $1; 1,1; 1,3,1; 1,6,4,3,1; ...$ of the aggregates in $\psi$ appear in OEIS http://oeis.org/A178867 with the description "Irregular triangle read by rows: multinomial coefficients, version 3; alternatively, row n gives coefficients of the n-th complete exponential Bell polynomial B_n(x_1, x_2, ...) with monomials sorted into some unknown order."
The interested researcher can can discover several things to add to that entry, e.g. the formula in Mathematica, and comment on the order topic.