Let $\theta_1$, ..., $\theta_d$ be the roots of $f$, numbered so that $v(\theta_j) = - s_j$.
We have $f(x) = f_d \prod_j (x-\theta_j)$ and so $f^{(2)}(x) = f_d \prod_j (f(x) - \theta_j)$. We will compute (part of) the Newton polygon of $f^{(2)}$ by merging the slopes of the Newton polygons of the polynomials $f_d(x) - \theta_j$$f(x) - \theta_j$, as in Fact 1.
Case 1: $1 \leq j \leq k$. Then $v(\theta_j) = - s_j \geq 0$. Using our assumption that $f_0 \in \ZZ_p$, the constant term of $f_d(x) - \theta_j$$f(x) - \theta_j$ has valuation $\geq 0$. Therefore, the upward sloping parts of the Newton polygons of $f_d(x)$$f(x)$ and of $f_d(x) - \theta_j$$f(x) - \theta_j$ are the same, so the list of slopes of Newton polygon of $f_d(x)$$f(x) - \theta_j$ ends with $(s_{k+1}, s_{k+2}, \ldots, s_d)$. Thus, the height change of the Newton polygon from its most negative point to the right end is $s_{k+1} + s_{k+2} + \cdots + s_d = a+b$.
Case 2: $k+1 \leq j \leq d$. Then $v(\theta_j) < 0$, so the left hand point of the Newton polygon of $f_d(x) - \theta_j$$f(x) - \theta_j$ is $(0, v(\theta_j)) = (0, -s_j)$, and the right hand point is $(d, v(f_d)) = (d, a)$. We see that the total height change over the entire Newton polygon is $a+s_j$ and thus the height change of the Newton polygon from its most negative point to the right end is $\geq a+s_j$.
Proof: Note that $g(g(0))$ and $g(g(g(0)))$ are in $\ZZ_p$. Put
$$f(x) = g{\big (}x+g(g(0)){\big )} - g(g(0)).$$
Then $f^{(2)}(x) = g^{(2)}{\big (} x+g(g(0)) {\big )}$$f^{(2)}(x) = g^{(2)}{\big (} x+g(g(0)) {\big )} - g(g(0))$, so $f^{(2)}$ is in $\ZZ_p[x]$.
Also, $f(0) = g^{(3)}(0) - g^{(2)}(0) \in \ZZ_p$. So, by the contrapositive of the lemma, $f(x) \in \ZZ_p[x]$ and thus $g(x) \in \ZZ_p[x]$. $\square$