It still produces one molecule of CO2 for every molecule of methane that goes in, two molecules for every molecule of ethane, etc. That CO2 has to go someplace. Hopefully not just out the back of the plant and dumped into the atmosphere.
I would be MUCH more impressed by a plant that strips the hydrogen off of natural gas, burned it to make water, and output solid blocks of carbon that could be buried as reverse coal mining. It is theoretically possible because the H-C bond has an energy of 411 kj/mole and the H-O bond has an energy of 459 kj/mole. That means you net 48 kj/mole you process (and get pure water to boot).