Another approach is to use the Mellin transform $$\int_{0}^{\infty} \frac{x^{\mu-1}}{1+x^{\nu}} \, \mathrm dx = \frac{\pi}{\nu} \, \csc \left(\frac{\pi \mu}{\nu} \right), \quad 0 < \mu < \nu. $$
See this question for a few proofs.
Assume that $0 < s \le \delta <\operatorname{min}(a,b)$.
Then $$ \begin{align} \int_{0}^{\infty} \left(\frac{1}{1+x^{a}}- \frac{1}{1+x^{b}} \right)\frac{\mathrm dx}{x} &\overset{\clubsuit}{=} \lim_{s \to 0^{+}}\int_{0}^{\infty} \left(\frac{1}{1+x^{a}}- \frac{1}{1+x^{b}} \right) x^{s-1} \, \mathrm dx \\ &= \lim_{s \to 0^{+}} \left( \int_{0}^{\infty} \frac{x^{s-1}}{1+x^{a}} \, \mathrm dx - \int_{0}^{\infty}\frac{x^{s-1}}{1+x^{b}} \, \mathrm dx \right) \\ &= \lim_{s \to 0^{+}} \left(\frac{\pi}{a} \, \csc \left(\frac{\pi s}{a} \right) - \frac{\pi}{b} \, \csc \left(\frac{\pi s}{b} \right) \right) \\ &\overset{\spadesuit}{=} \lim_{s \to 0^{+}} \left(\frac{\pi}{a} \left(\frac{a}{\pi s} + O(s) \right) - \frac{\pi}{b} \left(\frac{b}{\pi s} + O(s) \right)\right) \\ &= \lim_{s \to 0^{+}} \left(0 + O(s) \right) \\ &= 0. \end{align}$$
$\clubsuit$ On the interval $(0, 1]$, $\left(\frac{1}{1+x^{a}}- \frac{1}{1+x^{b}} \right) x^{s-1} $ is dominated by the integrable function $\left|\frac{1}{1+x^{a}}- \frac{1}{1+x^{b}} \right| \frac{1}{x}$. And on the interval $(1, \infty)$, $\left(\frac{1}{1+x^{a}}- \frac{1}{1+x^{b}} \right) x^{s-1}$ is dominated by the integrable function $\left|\frac{1}{1+x^{a}}- \frac{1}{1+x^{b}} \right| x^{\delta-1} $.
$\spadesuit$ https://mathworld.wolfram.com/Cosecant.html (8)