I try to use Mathematica to find such $n$, and I believe that only $n=2,3,4,5,6,7$ meet the requirement but I don't know how to prove that for $n\ge 8$, there is always some root lying outside the unit ball by using the basic complex analysis knowledge.
In fact, I do have a dirty way to deal with this problem, which only involves the property of polynomial. But I don't think it is an efficient and elegant solution.
I come up with another solution:
Gauss-Lucas Theorem: let $p(z)$ be the polynomial with coefficient in $\mathbb{C}$, then zeros of $p'(z)$ lie in the convex hull of zeros of $p(z)$.
Let $n\ge 3$. Here, $p(z)=(z+1)^n-z^n-1$ and $p'(z)=n((z+1)^{n-1}-z^{n-1})$. It is clear that $p'(0)\ne 0$ and hence $p'(z)=nz^{n-1}\cdot(\frac{z+1}{z})^{n-1}$, which follows that the zeros of $p'(z)$ are $\frac{z+1}{z}=e^{\frac{2\pi i k}{n-1}}$, $k=1,\cdots,n-2$, so $z=\frac{1}{e^{\frac{2\pi i k}{n-1}}-1}$.
Note that the zeros of $p(z)$ lie on the unit circle, by Gauss-Lucas Theorem, the zeros of $p'(z)$ lie in the unit ball. For each zero of $p'(z)$, $$\left|\frac{1}{e^{\frac{2\pi i k}{n-1}}-1}\right|=\frac{1}{2-2\cos\left(\frac{2\pi k}{n-1}\right)}\le 1,$$ which follows that $\cos(\frac{2\pi k}{n-1})\le\frac{1}{2}$, i.e., $\frac{\pi}{3}\le \frac{2\pi k}{n-1}\le \frac{5\pi}{3}$ for all $k=1,\cdots,n-2$. Then we have $\frac{1}{3}\le \frac{2}{n-1}$ and $\frac{2(n-2)}{n-1}\le \frac{5}{3}$, so $n\le 7$.
It is easy to verify that the result holds for $n=2,3,4,5,6,7$.