$\newcommand\R{\mathbf R}$Here we shall interpret the condition that $g$ be nontrivial as the condition that $g$ be non-constant. 

We have 
\begin{equation}
g(af(a)s)=f(a)g(s) \quad\text{for all real $a>0$ and all real $s$}. \tag{1}
\end{equation}

Consider the following cases.   

*Case 1: $f(a)=0$ for all real $a>1$.* Then $f(a)=0$ for all real $a>0$, and hence (1) holds iff $g(0)=0$. 

*Case 2: $f(a)=1$ for some real $a_*>0$ and all real $a>a_*$.* Then (1) implies that $g(as)=g(s)$ for all real $a>a_*$ and all real $s$. So, $g$ is constant on $(a_*s,\infty)$, for each real $s>0$. So, $g$ is is constant on $(0,\infty)$. Similarly, $g$ is constant on $(-\infty,0)$. So, if $g$ is Lipschitz, then $g$ is constant on $\R$ and thus is not nontrivial. 

If neither Case 1 nor Case 2 occurs, then the following case must occur:  

*Case 3: $f(a)>0$ and $f(a)\ne1$ for some real $a>1$.* Indeed, otherwise for all real $a>1$ we would have $f(a)\in\{0,1\}$, which would imply either Case 1 or Case 2, since $f$ is nondecreasing. Take now any real $a$ as in Case 3, so that $a>1$, $f(a)>0$, and $f(a)\ne1$. Then, by (1), for all real $s$ we have 
\begin{equation}
	g(Bs)=Ag(s),\tag{2}
\end{equation}
where 
\begin{equation}
	A:=f(a)\in(0,\infty)\setminus\{1\},\quad B:=af(a)>A. \tag{3}
\end{equation}
Iterating (2), we get 
\begin{equation}
	g(B^ks)=A^kg(s),\tag{2a}
\end{equation}
for all real $s$ and all integers $k$. 

Since $g$ is nontrivial and Lipschitz, we can take a real $t$ such that 
\begin{equation}
	t\ne0\quad\text{and}\quad g(t)\ne0. \tag{4} 
\end{equation}
Then (2) (with $s=t$) and (3) imply $B\ne1$. So, by (2a), 
\begin{equation}
	\Big|\frac{g(B^{k+1}t)-g(B^kt)}{B^{k+1}t-B^kt}\Big|
	=\Big|\frac{A^{k+1}-A^k}{B^{k+1}-B^k}\,\frac{g(t)}t\Big|
		=\Big(\frac AB\Big)^k\,\Big|\frac{A-1}{B-1}\,\frac{g(t)}t\Big|\to\infty
\end{equation}
as $k\to-\infty$. So, $g$ is not Lipschitz. 

Thus, $g$ can be a nontrivial Lipschitz function only in Case 1, when $f(a)=0$ for all real $a>0$. 

**Comment:** I think symbols like $\R_+$ should be defined (if used at all). Otherwise, I can never be sure whether $\R_+$ stands for $[0,\infty)$ or $(0,\infty)$. (Some authors use $\R_+$ for $[0,\infty)$ and $\R_{++}$ for $(0,\infty)$.) In this case, the functional equation in the OP is stated only for $\alpha>0$. So, one may guess that the OP meant $\R_+:=(0,\infty)$. Then the values of the function $f\colon\R_+\to\R_+$ would all be strictly positive, which would simplify the answer, given under the assumption that $f$ may take the value $0$.