\begin{eqnarray*} F_{\mu\nu} &=& \partial_\mu (A_\nu(x)) - \partial_\nu (A_\mu(x)) \\ &\rightarrow& \partial_\mu (A_\nu(x)+ \partial_\nu(\alpha(x))) - \partial_\nu (A_\mu(x)+ \partial_\mu(\alpha(x))) \\ &=& \partial_\mu (A_\nu(x))+ \partial_\mu\partial_\nu(\alpha(x)) - \partial_\nu (A_\mu(x)) - \partial_\nu\partial_\mu(\alpha(x)) \\ &=& \partial_\mu (A_\nu(x)) - \partial_\nu (A_\mu(x)) \\ &=& F_{\mu\nu} \end{eqnarray*}
Why is $\partial_\mu\partial_\nu(\alpha) = \partial_\nu\partial_\mu(\alpha)$?
Why is the mixed partials rule from high school math,
$$\frac{\partial}{\partial x}\frac{\partial}{\partial y} f= \frac{\partial}{\partial y}\frac{\partial}{\partial x} f$$
true?
They are symmetric, the last term in third line shoud be $−\partial_\nu\partial_\mu\alpha$, you forgot the minus sign