For $M \subset \mathbb{N}$ (in this post I follow the convention $\min \mathbb{N} = 1$) and $\alpha \in [0,1]$ define
$$S_{M,\alpha}(x) = \sum_{\substack{n\in M \\ n \leqslant x}} \frac{1}{n^{\alpha}}$$
on $[1,+\infty)$. For sets $A \subset B \subset \mathbb{N}$ with $S_{B,\alpha}(x) \to +\infty$ as $x\to +\infty$, we define the upper $\alpha$-density of $A$ in $B$ as
$$\overline{D}_{\alpha}(A;B) = \limsup_{x\to +\infty} \frac{S_{A,\alpha}(x)}{S_{B,\alpha}(x)}.$$
The lower $\alpha$-density $\underline{D}_{\alpha}(A;B)$ is defined analogously (using $\liminf$ instead of $\limsup$). We say that $A$ has an $\alpha$-density in $B$ if $\overline{D}_{\alpha}(A;B) = \underline{D}_{\alpha}(A;B)$, and then denote that value with $D_{\alpha}(A;B)$. For $\alpha = 0$ we have the familiar natural density (also called asymptotic density) and for $\alpha = 1$ the logarithmic density. The cases $\alpha \in (0,1)$ shall be called "power densities".
Via summation by parts, it is straightforward to show that when $B$ is substantial, i.e. $\lim\limits_{x\to +\infty} S_{B,1}(x) = +\infty$,
$$\underline{D}_{\alpha}(A;B) \leqslant \underline{D}_{\beta}(A;B) \leqslant \overline{D}_{\beta}(A;B) \leqslant \overline{D}_{\alpha}(A;B)$$
for all $A \subset B$ and $0 \leqslant \alpha < \beta \leqslant 1$. So if $A$ has an $\alpha$-density in $B$ for some $\alpha < 1$, then $D_{\beta}(A;B)$ exists for all $\beta \in [\alpha,1]$ and all these densities coincide. And for example the set $A_1$ of positive integers whose first (decimal) digit is $1$ has logarithmic density $\frac{\log 2}{\log 10}$ in $\mathbb{N}$, but $\underline{D}_{\alpha}(A_1;\mathbb{N}) < \overline{D}_{\alpha}(A_1;\mathbb{N})$ for all $\alpha \in [0,1)$.
So the question arises whether there is a substantial set $B$ and a subset $A$ such that $A$ has no natural density in $B$, but $D_{\alpha}(A;B)$ exists for some $\alpha \in (0,1)$.
Again via summation by parts it is easy to see that for well-behaved $B$ - e.g. $\underline{D}_0(B;\mathbb{N}) > 0$, or such that $\frac{S_{B,0}(x)}{x}$ tends to $0$ in a nice fashion, like for the set of primes - the existence of $D_{\alpha}(A;B)$ for an $\alpha < 1$ implies the existence of $D_0(A;B)$.
But I did not find a proof of that for arbitrary substantial $B$, nor did I manage to find an example where $D_{\alpha}(A;B)$ exists for some $\alpha \in (0,1)$ and $D_0(A;B)$ doesn't exist. So:
Do there exist $A \subset B \subset \mathbb{N}$ such that $B$ is substantial, $A$ doesn't have a natural density in $B$ and $D_{\alpha}(A;B)$ exists for an $\alpha \in (0,1)$?