[guided]The new connection has two parts: the old connection transported by the adjoint action, and the correction term $\theta = u^{-1}du$. To control the curvature, we need to know how these two parts differentiate.
First, the form $\theta \in \Omega^1(U;\mathfrak g)$ is the pullback of the left Maurer-Cartan form on $G$. Since $u: U \to G$ is smooth, this pullback is a smooth $\mathfrak g$-valued $1$-form on $U$, and the Maurer-Cartan structure equation applies after pullback. It says that
\begin{align*}
d\theta + \frac{1}{2}[\theta \wedge \theta] = 0.
\end{align*}
This identity is exactly the cancellation mechanism for the pure gauge part of the curvature. If $A = 0$, then $A' = \theta$, and the identity says that the curvature of this pure gauge connection is zero.
Second, we need to differentiate the adjointly transformed form $\alpha = \operatorname{Ad}_{u^{-1}}A$. The pointwise map $x \mapsto \operatorname{Ad}_{u(x)^{-1}}$ varies with $x$, so $d\alpha$ is not merely $\operatorname{Ad}_{u^{-1}}dA$. The missing term is the commutator with $\theta$. More precisely, for every smooth vector field $X$ on $U$ and every smooth map $B: U \to \mathfrak g$, differentiating the curve $x \mapsto \operatorname{Ad}_{u(x)^{-1}}B(x)$ in the direction $X$ gives
\begin{align*}
X\bigl(\operatorname{Ad}_{u^{-1}}B\bigr) = \operatorname{Ad}_{u^{-1}}(XB) - [\theta(X), \operatorname{Ad}_{u^{-1}}B].
\end{align*}
The term $\operatorname{Ad}_{u^{-1}}(XB)$ differentiates the $\mathfrak g$-valued coefficient $B$, while the commutator term differentiates the moving frame $u^{-1}$.
To pass from coefficient functions to the full $1$-form, evaluate on smooth vector fields $X$ and $Y$ on $U$. The exterior derivative formula gives
\begin{align*}
d\alpha(X,Y)=X(\alpha(Y))-Y(\alpha(X))-\alpha([X,Y]).
\end{align*}
Because $\alpha(Z)=\operatorname{Ad}_{u^{-1}}A(Z)$ for every smooth vector field $Z$, the coefficient identity applied to $B=A(Y)$ and $B=A(X)$ yields
\begin{align*}
d\alpha(X,Y)=\operatorname{Ad}_{u^{-1}}\bigl(X(A(Y))-Y(A(X))-A([X,Y])\bigr)-[\theta(X),\alpha(Y)]+[\theta(Y),\alpha(X)].
\end{align*}
The expression inside $\operatorname{Ad}_{u^{-1}}$ is $dA(X,Y)$. Also,
\begin{align*}
[\theta\wedge\alpha](X,Y)=[\theta(X),\alpha(Y)]-[\theta(Y),\alpha(X)].
\end{align*}
Hence
\begin{align*}
d\alpha(X,Y)=\bigl(\operatorname{Ad}_{u^{-1}}dA-[\theta\wedge\alpha]\bigr)(X,Y).
\end{align*}
Since $X$ and $Y$ were arbitrary, we have proved
\begin{align*}
d\alpha = \operatorname{Ad}_{u^{-1}}dA - [\theta \wedge \alpha].
\end{align*}
This is the exact term that will cancel the mixed bracket term appearing when the curvature of $A' = \alpha + \theta$ is expanded.[/guided]