To calculate these two sums, we are going to establish two relations and solve them by elimination.
To establish the first relation, we use $\displaystyle I=\int_0^1\frac{\ln^4(1+x)+6\ln^2(1-x)\ln^2(1+x)}{x}\ dx=\frac{21}4\zeta(5)\tag{1}$
which was proved by Khalef Ruhemi ( unfortunately he is not an MSE user).
The proof as follows: using the algebraic identity $\ b^4+6a^2b^2=\frac12(a-b)^4+\frac12(a+b)^4-a^4$
with $\ a=\ln(1-x)$ and $\ b=\ln(1+x)$ , divide both sides by $x$ then integrate, we get
$$I=\frac12\underbrace{\int_0^1\frac1x{\ln^4\left(\frac{1-x}{1+x}\right)}\ dx}_{\frac{1-x}{1+x}=y}+\underbrace{\frac12\int_0^1\frac{\ln^4(1-x^2)}{x}\ dx}_{x^2=y}-\int_0^1\frac{\ln^4(1-x)}{x}\ dx$$
$$=\int_0^1\frac{\ln^4x}{1-x^2}+\frac14\int_0^1\frac{\ln^4(1-x)}{x}\ dx-\int_0^1\frac{\ln^4(1-x)}{x}\ dx$$
$$=\frac12\int_0^1\frac{\ln^4x}{1-x}+\frac12\int_0^1\frac{\ln^4x}{1+x}-\frac34\underbrace{\int_0^1\frac{\ln^4(1-x)}{x}\ dx}_{1-x=y}$$
$$=\frac12\int_0^1\frac{\ln^4x}{1+x}\ dx+\frac14\int_0^1\frac{\ln^4x}{1-x}\ dx=\frac12\left(\frac{45}{2}\zeta(5)\right)+\frac14(24\zeta(5))=\frac{21}4\zeta(5)$$
On the other hand, $\quad\displaystyle I=\underbrace{\int_0^1\frac{\ln^4(1+x)}{x}\ dx}_{I_1}+6\int_0^1\frac{\ln^2(1-x)\ln^2(1+x)}{x}\ dx$
Using $\ln^2(1+x)=2\sum_{n=1}^\infty(-1)^n\left(\frac{H_n}{n}-\frac{1}{n^2}\right)x^n\ $ for the second integral, we get
\begin{align}
I&=I_1+12\sum_{n=1}^\infty(-1)^n\left(\frac{H_n}{n}-\frac{1}{n^2}\right)\int_0^1x^{n-1}\ln^2(1-x)\ dx\\
I&=I_1+12\sum_{n=1}^\infty(-1)^n\left(\frac{H_n}{n}-\frac{1}{n^2}\right)\left(\frac{H_n^2+H_n^{(2)}}{n}\right)\\
I&=I_1+12\sum_{n=1}^\infty(-1)^n\left(\frac{H_n^3+H_nH_n^{(2)}}{n^2}\right)-12\sum_{n=1}^\infty(-1)^n\left(\frac{H_n^2+H_n^{(2)}}{n^3}\right)\tag{2}
\end{align}
From $(1)$ and $(2)$, we get
$$\boxed{\small{R_1=\sum_{n=1}^\infty\frac{(-1)^nH_n^3}{n^2}+\sum_{n=1}^\infty\frac{(-1)^nH_nH_n^{(2)}}{n^2}=\frac{7}{16}\zeta(5)+\sum_{n=1}^\infty\frac{(-1)^nH_n^2}{n^3}+\sum_{n=1}^\infty\frac{(-1)^nH_n^{(2)}}{n^3}-\frac{1}{12}I_1}}$$
and the first relation is established.
To get the second relation, we need to use the sterling number formula ( check here)
$$ \frac{\ln^k(1-x)}{k!}=\sum_{n=k}^\infty(-1)^k \begin{bmatrix} n \\ k \end{bmatrix}\frac{x^n}{n!}$$
letting $k=4$ and using $\displaystyle\begin{bmatrix} n \\ 4 \end{bmatrix}=\frac{1}{3!}(n-1)!\left[\left(H_{n-1}\right)^3-3H_{n-1}H_{n-1}^{(2)}+2H_{n-1}^{(3)}\right],$ we get $$\frac14\ln^4(1-x)=\sum_{n=1}^\infty\frac{x^{n+1}}{n+1}\left(H_n^3-3H_nH_n^{(2)}+2H_n^{(3)}\right)$$
differentiate both sides with respect to $x$, we get
$$-\frac{\ln^3(1-x)}{1-x}=\sum_{n=1}^\infty x^n\left(H_n^3-3H_nH_n^{(2)}+2H_n^{(3)}\right)$$
Now replace $x$ with $-x$ then multiply both sides by $\frac{\ln x}{x}$ and integrate, we get
$$-\sum_{n=1}^\infty(-1)^n\left(H_n^3-3H_nH_n^{(2)}+2H_n^{(3)}\right)\int_0^1x^{n-1}\ln x\ dx=\int_0^1\frac{\ln^3(1+x)\ln x}{x(1+x)}\ dx$$
$$\sum_{n=1}^\infty \frac{(-1)^n}{n^2}\left(H_n^3-3H_nH_n^{(2)}+2H_n^{(3)}\right)=\int_0^1\frac{\ln^3(1+x)\ln x}{x}\ dx-\underbrace{\int_0^1\frac{\ln^3(1+x)\ln x}{1+x}\ dx}_{IBP}$$
$$\sum_{n=1}^\infty \frac{(-1)^n}{n^2}\left(H_n^3-3H_nH_n^{(2)}+2H_n^{(3)}\right)=\int_0^1\frac{\ln^3(1+x)\ln x}{x}\ dx+\frac14I_1$$
Rearranging the terms, we get
$$\boxed{R_2=\sum_{n=1}^\infty\frac{(-1)^nH_n^3}{n^2}-3\sum_{n=1}^\infty\frac{(-1)^nH_nH_n^{(2)}}{n^2}=\int_0^1\frac{\ln^3(1+x)\ln x}{x}-2\sum_{n=1}^\infty\frac{(-1)^nH_n^{(3)}}{n^2}+\frac14I_1}$$
and the second relation is established.
Now we are ready to calculate the first sum.
\begin{align}
\sum_{n=1}^\infty\frac{(-1)^nH_n^3}{n^2}&=\frac{3R_1+R_2}{4}\\
&=\frac34\sum_{n=1}^\infty\frac{(-1)^nH_n^2}{n^3}+\frac34\sum_{n=1}^\infty\frac{(-1)^nH_n^{(2)}}{n^3}-\frac12\sum_{n=1}^\infty\frac{(-1)^nH_n^{(3)}}{n^2}\\
&\quad+\frac14\int_0^1\frac{\ln x\ln^3(1+x)}{x}\ dx+\frac{21}{64}\zeta(5)
\end{align}
the closed form of the first and second sum can be found here and the closed form of the third sum is evaluated here. as for the integral, I evaluated it here.
by combining these results, we get our closed form.
and the second sum.
$$\sum_{n=1}^\infty\frac{(-1)^nH_nH_n^{(2)}}{n^2}=\frac{R_1-R_2}{4}$$
$$\small{=\frac14\sum_{n=1}^\infty\frac{(-1)^nH_n^2}{n^3}+\frac14\sum_{n=1}^\infty\frac{(-1)^nH_n^{(2)}}{n^3}+\frac12\sum_{n=1}^\infty\frac{(-1)^nH_n^{(3)}}{n^2}-\frac14\int_0^1\frac{\ln x\ln^3(1+x)}{x}\ dx-\frac1{12}I_1+\frac{7}{64}\zeta(5)}$$
lets calculate $I_1$ and by setting $\frac1{1+x}=y$, we get
\begin{align}
I_1&=\int_0^1\frac{\ln^4(1+x)}{x}=\int_{1/2}^1\frac{\ln^4x}{x}\ dx+\int_{1/2}^1\frac{\ln^4x}{1-x}\ dx\\
&=\frac15\ln^52+\sum_{n=1}^\infty\int_{1/2}^1 x^{n-1}\ln^4x\ dx\\
&=\frac15\ln^52+\sum_{n=1}^\infty\left(\frac{24}{n^5}-\frac{24}{n^52^n}-\frac{24\ln2}{n^42^n}-\frac{12\ln^22}{n^32^n}-\frac{4\ln^32}{n^22^n}-\frac{\ln^42}{n2^n}\right)\\
&=4\ln^32\zeta(2)-\frac{21}2\ln^22\zeta(3)+24\zeta(5)-\frac45\ln^52-24\ln2\operatorname{Li}_4\left(\frac12\right)-24\operatorname{Li}_5\left(\frac12\right)
\end{align}
by combining the result of $I_1$ along with the results we used in our first sum, we get the closed form of the second sum.
UPDATE:
The identity used above:
$$-\frac{\ln^3(1-x)}{1-x}=\sum_{n=1}^\infty x^n\left(H_n^3-3H_nH_n^{(2)}+2H_n^{(3)}\right)$$
can also be proved this way.
Similarly, one may obtain the following equality, used by Apery to prove the irrationality of $\zeta(3)$:
$$\sum_{n=1}^\infty \frac{(-1)^{n-1}}{n^3 \binom{2n}{n}}=\frac25\sum_{n=1}^\infty \frac{1}{n^3}$$
Using $\arcsin^2 \sqrt{-z}=-\operatorname{arcsinh}^2z $ we get:$$S=\sum_{k=1}^\infty\frac{(-1)^{k-1}}{k^32^k {2k\choose k}}=-2\int_0^{-1}\frac{\arcsin^2\left(\sqrt{\frac x8}\right)}{x} dx\overset{x=-t}=2\int_0^1 \frac{\operatorname{arcsinh}^2\left(\sqrt{\frac t8}\right)}{t}dt$$
Furthermore, we let $\operatorname{arcsinh}\sqrt{\frac t8}=y$, which yields
$$S=4\int_0^{\ln{\sqrt 2}} y^2 \coth y dy\overset{y=\ln x}=4\int_1^{\sqrt 2}\ln^2 x\ \frac{x^2+1}{x^2-1}\frac{dx}{x}$$$$=4\int_1^{\sqrt 2} \frac{(2x)\ln^2 x}{x^2-1}dx-4\int_1^{\sqrt 2}\frac{\ln^2 x}{x}dx\overset{x^2=t}=\int_1^2 \frac{\ln^2 t}{t-1}dt-\frac{\ln^3 2}{6}$$
$$\overset{t-1=x}=\int_0^1 \frac{\ln^2(1+x)}{x}dx-\frac{\ln^3 2}{6}=\boxed{\frac{\zeta(3)}{4}-\frac{\ln^3 2}{6}}$$
See here for the last integral, or just let $m=1,n=0,q=1,p=0$ in the following relation:
$$\small \int_0^1 \frac{[m\ln(1+x)+n\ln(1-x)][q\ln(1+x)+p\ln(1-x)]}{x}dx=\left(\frac{mq}{4}-\frac{5}{8}(mp+nq)+2np\right)\zeta(3)$$
Best Answer
The short answer is that the antiderivative you selected doesn't vanish at zero, whereas $\sum_{n=0}^\infty (-1)^n \frac{x^{3n+1}}{3n+1}$ does. So when you evaluated the antiderivative at the endpoints in the first computation, you picked up a contribution at zero that you have lost in your second computation.
To do the second computation correctly, you would need to include a "$+C$" in your antiderivative and then match it with the series by plugging in a value of $x$ where you know the value of the series. The obvious choice for this value of $x$ is $0$. But now effectively you have selected the antiderivative to be $\int_0^x g(y) dy$ in the first place, so why go through these extra steps rather than just evaluating $\int_0^1 g(y) dy$ immediately?
In general, various identities involving integrals in analysis do not hold in their simple form when you start talking about indefinite integrals. Accordingly, I usually suggest using definite integrals (possibly with variable limits) whenever it is at all convenient to do so.