As this question has been tagged complex analysis we
present a complex variable proof by way of enrichment.
We seek
$$[w^n] g(w) = \frac{1}{n} [w^{n-1}] g'(w).$$
This is
$$\frac{1}{n} \frac{1}{2\pi i} \int_{|w|=\gamma}
\frac{1}{w^n} g'(w) \; dw.$$
Now put $w=(\exp(z)-1)/\exp(az)$ to get
$$\frac{1}{n} \frac{1}{2\pi i} \int_{|z|=\varepsilon}
\frac{\exp(anz)}{(\exp(z)-1)^n} \; dz.$$
Next introduce $v=\exp(z)$ to obtain
$$\frac{1}{n} \frac{1}{2\pi i} \int_{|v-1|=\rho}
\frac{v^{an-1}}{(v-1)^n} \; dv
\\ = \frac{1}{n} \frac{1}{2\pi i} \int_{|v-1|=\rho}
\frac{1}{(v-1)^n}
\sum_{q=0}^{an-1} {an-1\choose q} (v-1)^q \; dv
\\ = \frac{1}{n} {an-1\choose n-1}
= \frac{1}{an} {an\choose n}.$$
This is the first part of the task. With the second part
for the ratio between consecutive terms we find
$$\frac{an+a}{an} \frac{(an)!}{n! \times (an-n)!}
\frac{(n+1)! \times (an+a-n-1)!}{(an+a)!}.$$
Now we have
$$\frac{(an)!}{(an+a)!} = \prod_{q=1}^a \frac{1}{an+q}
= \frac{1}{(an)^a} \prod_{q=1}^a \frac{1}{1+q/a/n}
\\ = \frac{1}{(an)^a}
\exp\left[\sum_{q=1}^a \log \frac{1}{1+q/a/n} \right].$$
With $n$ large we may replace the logarithm with the
first term of its Taylor series to get
$$\frac{1}{(an)^a}
\exp\left[- \frac{1}{an} \sum_{q=1}^a q \right]
= \frac{1}{(an)^a}
\exp\left[- \frac{1}{2} \frac{a+1}{n}\right].$$
We also have
$$\frac{(an+a-n-1)!}{(an-n)!}
= \prod_{q=1}^{a-1} (an-n+q)
= (an-n)^{a-1} \prod_{q=1}^{a-1} (1+q/(a-1)/n)
\\ = (an-n)^{a-1}
\exp\left[ \sum_{q=1}^{a-1} \log (1+q/(a-1)/n) \right]
\sim (an-n)^{a-1}
\exp\left[\frac{1}{(a-1)n} \sum_{q=1}^{a-1} q \right]
= (an-n)^{a-1}
\exp\left[\frac{1}{2} \frac{a}{n} \right].$$
Collecting everything,
$$\frac{(n+1)^2}{n}
n^{a-1} (a-1)^{a-1} \frac{1}{n^a a^a}
\exp\left[-\frac{1}{2n}\right]
\\ = \frac{(n+1)^2}{n^2}
\frac{(a-1)^{a-1}}{a^a} \exp\left[-\frac{1}{2n}\right]
\sim \frac{(a-1)^{a-1}}{a^a}.$$
This will do it for the radius of convergence.
Remark on the contours. We have $z=w+\cdots$ from
the problem statement and the functional equation
(computing $c_1$ by substitution) so we may actually
take $\varepsilon=\gamma.$ We also have $v=1+z+\cdots$
so we may take $\rho=\varepsilon=\gamma.$ Here
$\gamma\lt (a-1)^{a-1}/a^a \lt 1 \lt 2\pi.$ With a
non-zero radius of convergence this series about the
origin represents an analytic function $g(w)$ there,
which justifies the initial application of the CCF to
$g'(w).$ Supposing analyticity in a neighborhood of the
origin we have obtained just such a branch and the
corresponding radius of convergence.