[guided]We factored $p_\alpha$ as $\prod_{i=1}^r (x - \alpha_i)$. To access the coefficients of $p_\alpha$ from this factorisation, expand the product using the [Vieta formulas](/pages/???). The elementary symmetric polynomials in $r$ variables are defined by
\begin{align*}
e_0 &= 1, \\
e_1(y_1, \ldots, y_r) &= y_1 + y_2 + \cdots + y_r, \\
e_2(y_1, \ldots, y_r) &= \sum_{i < j} y_i y_j, \\
&\vdots \\
e_r(y_1, \ldots, y_r) &= y_1 y_2 \cdots y_r.
\end{align*}
Expanding the product $\prod_{i=1}^r (x - \alpha_i)$ by distributivity: each term corresponds to a choice, for each factor $(x - \alpha_i)$, of either $x$ or $-\alpha_i$. If we choose $-\alpha_i$ for a subset $S \subseteq \{1, \ldots, r\}$ of size $k$, and $x$ for the rest, the resulting summand is $\left(\prod_{i \in S} -\alpha_i\right) \cdot x^{r-k} = (-1)^k \left(\prod_{i \in S} \alpha_i\right) x^{r-k}$. Summing over all subsets $S$ of size $k$ and grouping by $k$:
\begin{align*}
\prod_{i=1}^r (x - \alpha_i) = \sum_{k=0}^r (-1)^k e_k(\alpha_1, \ldots, \alpha_r) \, x^{r-k}.
\end{align*}
So the coefficient of $x^{r-k}$ in $p_\alpha$ is $(-1)^k e_k(\alpha_1, \ldots, \alpha_r)$.
Now apply the [Ring of Integers is a Ring](/theorems/1567) theorem: $\mathcal{O}_M$ is a ring (specifically, a subring of $M$), hence closed under addition, subtraction, and multiplication. We verify the hypotheses of the theorem: $M$ is a number field (a finite extension of $\mathbb{Q}$, which it is by construction — $M$ is a splitting field of a polynomial over $\mathbb{Q}$, hence a finite algebraic extension of $\mathbb{Q}$). The conclusion is that $\mathcal{O}_M$ is a subring of $M$.
Each $\alpha_i \in \mathcal{O}_M$. The expression
\begin{align*}
e_k(\alpha_1, \ldots, \alpha_r) = \sum_{\substack{S \subseteq \{1, \ldots, r\} \\ |S| = k}} \prod_{i \in S} \alpha_i
\end{align*}
is built from the elements $\alpha_i \in \mathcal{O}_M$ by finitely many additions and multiplications. Since $\mathcal{O}_M$ is closed under these operations, $e_k(\alpha_1, \ldots, \alpha_r) \in \mathcal{O}_M$. Multiplying by $(-1)^k \in \mathbb{Z} \subseteq \mathcal{O}_M$ (the inclusion is because $\mathcal{O}_\mathbb{Q} = \mathbb{Z}$, and $\mathbb{Z} \subseteq M$ is obvious; or more directly, any integer is a root of a monic integer polynomial, e.g., $x - n$), the product stays in $\mathcal{O}_M$. Therefore every coefficient of $p_\alpha$ lies in $\mathcal{O}_M$.
The leading coefficient, which is $(-1)^0 e_0 = 1$, also lies in $\mathcal{O}_M$ since $1 \in \mathbb{Z} \subseteq \mathcal{O}_M$.[/guided]