Edit: In fact, we can show that a polynomial in $n$ produces an average-integral sequence if and only if it can be expressed as a $\mathbb{Z}_{(p)}$-linear combination of terms of the form $p^{d(k)}n^k$, or equivalently if it can be expressed as a $\mathbb{Z}_{(p)}$-linear combination of terms of the form $p^{d(k)}n^{\underline{k}}$.
The second claim is much easier to prove: we have $\frac{\Delta^{p-1}p^{d(k)}n^{\underline{k}}}{p} = p^{d(k)-1}k^{\underline{p-1}}n^{\underline{k-(p-1)}}$, which is an integer relatively prime to $p$ times $p^{d(k-(p-1))}n^{\underline{k-(p-1)}}$. Also, if $k < p-1$, then $d(k) = 0$ and we can recover the coefficient of $n^{\underline{k}}$ from the first $p-1$ values of the polynomial without doing any multiplication or division by $p$.
For the first claim, take a polynomial which is not an integer combination of terms of the form $p^{d(k)}n^k$, and look at the largest $k$ such that the coefficient on $n^k$ is not a multiple of $p^{d(k)}$. By subtracting off a polynomial that we already know to be average-integral (ignoring denominators other than $p$), we can assume that this is the leading term of the polynomial. Now convert to the falling power basis, and note that the leading term remains the same, to show that this polynomial is not average-integer.

