You must be careful with the definition of the Faddeev-Popov determinant you inserted in the path-integral.
The Faddeev-Popov determinant in the path-integral is evaluated at the identity element of the Lie group of gauge transformations. i.e, what you should insert into the path-integral is $$\mathrm{Det}\left(\frac{\delta\mathcal{F}(A[U])}{\delta U}\right)\Bigg|_{U=\mathrm{id}}.$$
In your notations, it corresponds to evaluating the functional determinant at $\alpha^{a}(x)=0$.
Then, assume $U(x)=\exp\left(iT^{a}\Lambda_{a}(x)\right)$, the Faddeev-Popov determinant is
\begin{align}
&\,\,\,\,\,\,\,\mathrm{Det}\left(\frac{\delta\mathcal{F}(A[U])}{\delta U}\right)\Bigg|_{U=\mathrm{id}} \\
&=\mathrm{Det}\left(\int d^{4}z\frac{\delta\mathcal{F}(A[U])}{\delta\Lambda(z)}\Bigg|_{\Lambda(z)=0}\cdot\frac{\delta\Lambda(z)}{\delta U}\Bigg|_{\Lambda(z)=0}\right) \\
&=\mathrm{Det}\left(\frac{\delta\mathcal{F}(A[U])}{\delta\Lambda}\right)\Bigg|_{\Lambda=0}.
\end{align}
It does not make any sense to consider a gauge transformation on the determinant since it is already evaluated at $\Lambda=0$!
In my previous answer, I said that there's a more fundamental definition of the Faddeev-Popov determinant, which is the functional integral $$\mathrm{Det}\mathcal{M}^{-1}=\int\mathcal{D}[U]\,\delta[\mathcal{F}(A[U])].$$
Using the formula $$\int d\theta\,\delta(f(\theta))=\int df\det\Bigg|\frac{d\theta}{df}\Bigg|\delta(f(\theta))=\det\Bigg|\frac{d\theta}{df}\Bigg|_{f=0}$$
you can immediately realize that the determinant is evaluated $\mathcal{F}=0$, which is equivalent to $U=\mathrm{id}$, or $\Lambda=0$.
It is precisely because of the above functional integral definition of the Faddeev-Popov determinant that then one must make sure $\mathrm{Det}\mathcal{M}$ is a gauge-invariant quantity so that it can be inserted into the path-integral.
To sum up, the functional determinant $$\mathrm{Det}\left(\frac{\delta\mathcal{F}(A[U])}{\delta U}\right)$$
is of course NOT gauge invariant. In fact, under a gauge transformation, one has $$D\rightarrow UDU^{-1},\quad\mathrm{hence}\quad\mathrm{Det}(\partial^{\mu}D_{\mu})\rightarrow\mathrm{Det}(\partial^{\mu}UD_{\mu}U^{-1}).$$
But this is not what you are inserting in the path-integral. What you are actuall inserting is $$\mathrm{Det}\left(\frac{\delta\mathcal{F}(A[U])}{\delta U}\right)\Bigg|_{U=\mathrm{id}}=\mathrm{Det}(\partial^{\mu}D_{\mu})|_{\Lambda=0},$$
which is of course gauge invariant because it is evaluated at $U=\mathrm{id}$. This is exactly the reason why one can factor out the $\int\mathcal{D}\Lambda$ integral, which gives the volume of the (infinite dimensional) Lie group of gauge transformations. Everything inside the integrand should be independent of $\Lambda$.
I didn't read Peskin's book, but I believe he assumes readers already know a lot about quantum field theory. It's like asking why the function $f(x)|_{x=0}$ is a constant under a shift $x\rightarrow x+x^{\prime}$.
I hope it makes sense to you now.