I think you probably want to integrate over the sphere using surface measure (otherwise, if you integrate over $\mathbb R^n$, $\textrm{supp}(\phi)$ is measure zero).
In this case, let $\phi$ be any spherical harmonic. If $\int P\phi = 0$, you are done. Otherwise, let
$$
\psi = \phi - \frac{1}{|P|^2}\left(\int P\phi\right)P
$$
where $|P|^2 = \int_{\mathbb S^{n-1}}P^2$. Assume for the moment that $\psi \neq 0$. Then
$$
\int\psi P = \int \phi P - \frac{1}{|P^2}\left(\int P\phi\right)\int P^2 = 0.
$$
If $\psi \equiv 0$, then $P = c\phi$ for some constant $c$. In this case, just choose $\tilde \psi$ to be any other spherical harmonic, and you will get the result (the spherical harmonics are orthogonal).