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##\nabla\mathrm\psi=\frac{\partial\mathrm\psi}{\partial r}{\textbf{e}}_r+\frac1r\frac{\partial\mathrm\psi}{\partial\mathrm\theta}{\textbf{e}}_\theta+\frac{\partial\mathrm\psi}{\partial z}{\textbf{e}}_z##
This equation is correct. It expresses the gradient of ##\psi##. The gradient of ##\psi## is a vector quantity. The dimensions of the gradient of ##\psi## are the dimensions of ##\psi## divided by distance. You can check that each term on the right of the equation has these dimensions.
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##d\mathrm\psi=\frac{\partial\mathrm\psi}{\partial r}dr+\frac1r\frac{\partial\mathrm\psi}{\partial\mathrm\theta}d\theta+\frac{\partial\mathrm\psi}{\partial z}dz##
This equation is not correct. ##d \psi## is the differential of psi. This is a scalar quantity that represents a small change in ##\psi## when the variables ##r, \theta## and ##z## are varied by ##dr##, ##d\theta##, and ##dz## respectively. The dimensions of ##d \psi## are the same as the dimensions of ##\psi##. Each term on the right side of the equation should have dimensions of ##\psi##. But the second term on the right side of your equation has dimensions of ##\psi## divided by distance (##r##).
For an arbitrary function ##f## of three variables ##u, v, w##, the differential of ##f(u, v, w)## is $$df = \frac{\partial f}{\partial u} du + \frac{\partial f}{\partial v}dv + \frac{\partial f}{\partial w}dw $$ So ##d \psi## is $$d\mathrm\psi=\frac{\partial\mathrm\psi}{\partial r}dr+\frac{\partial\mathrm\psi}{\partial\mathrm\theta}d\theta+\frac{\partial\mathrm\psi}{\partial z}dz$$