 Solution

Let $c_1,\dots ,c_d$ be the coefficients of $f$. Each is an algebraic integer. The ring $R=\mathbb{Z}[c_1,\dots ,c_d]$ is a finitely generated $\mathbb{Z}$-module: reduce powers of each generator by its monic integral equation. As $f$ is monic, $R[\alpha ]$ is generated over $R$ by $1,\alpha ,\dots ,{\alpha }^{d-1}$, so is a finite $\mathbb{Z}$-module. It is torsion-free as a subgroup of a characteristic-zero field, hence free of finite rank. Multiplication by $\alpha$ on it is represented by an integer matrix. Its monic characteristic polynomial, by Cayley-Hamilton theorem, annihilates $\alpha$. Thus $\alpha$ is an algebraic integer. This proves the required transitivity of integrality in this setting.

Every root of the monic $h$ is also a root of the monic polynomial $h^n\in {\mathcal{O}}_K[x]$, and is therefore an algebraic integer. The coefficients of $h$ are elementary symmetric polynomials in these roots, hence algebraic integers because algebraic integers form a ring. They also belong to $K$, so belong to ${\mathcal{O}}_K$. Consequently $h\in {\mathcal{O}}_K[x]$.