Exponential Generating Function
Here is a different presentation along the lines of Marko Riedel's answer.
$$
\begin{align}
\sum_{r=0}^\infty\frac{x^r}{r!}\color{#C00}{S_r(n)}
&=\sum_{r=0}^\infty\frac{x^r}{r!}\color{#C00}{\sum_{m=0}^n(-1)^mm^r\binom{n}{m}}\tag{1a}\\
&=\sum_{m=0}^n(-1)^me^{mx}\binom{n}{m}\tag{1b}\\[3pt]
&=\left(1-e^x\right)^n\tag{1c}\\[6pt]
&=x^n\left(\frac{1-e^x}x\right)^n\tag{1d}
\end{align}
$$
Comparing coefficients of $x^r$ between the left hand side of $\text{(1a)}$ and $\text{(1d)}$ shows that $S_r(n)=0$ for $r\lt n$.
Induction
This can also be proven by induction.
For $r=0$ and $n\gt r$, the Binomial Theorem gives
$$
\begin{align}
S_0(n)
&=\sum_{m=0}^n(-1)^m\binom{n}{m}\tag{2a}\\
&=(1-1)^n\tag{2b}\\[9pt]
&=0\tag{2c}
\end{align}
$$
Assume that $S_k(n-1)=0$ for all $k\lt n-1$. Then, for $1\le r\lt n$,
$$
\begin{align}
S_r(n)
&=\sum_{m=0}^n(-1)^mm^r\binom{n}{m}\tag{3a}\\
&=\sum_{m=1}^n(-1)^mm^r\frac nm\binom{n-1}{m-1}\tag{3b}\\
&=n\sum_{m=0}^{n-1}(-1)^{m+1}\color{#C00}{(m+1)^{r-1}}\binom{n-1}{m}\tag{3c}\\
&=-n\sum_{m=0}^{n-1}(-1)^m\color{#C00}{\sum_{k=0}^{r-1}m^k\binom{r-1}{k}}\binom{n-1}{m}\tag{3d}\\
&=-n\sum_{k=0}^{r-1}\binom{r-1}{k}S_k(n-1)\tag{3e}\\[9pt]
&=0\tag{3f}
\end{align}
$$
Explanation:
$\text{(3a):}$ definition of $S$
$\text{(3b):}$ $r\ge1$ so we can leave out the $m=0$ term
$\phantom{\text{(3b):}}$ $\binom{n}{m}=\frac nm\binom{n-1}{m-1}$
$\text{(3c):}$ substitute $m\mapsto m+1$
$\text{(3d):}$ Binomial Theorem
$\text{(3e):}$ definition of $S$
$\text{(3f):}$ Since $k\le r-1\lt n-1$, we have $S_k(n-1)=0$ by assumption
Thus, by induction, $S_r(n)=0$ for all $r\lt n$.