This is indeed the case in general: if we take the average of each subset of $\{1,2,\ldots,n\}$ and then average those averages, we find the average $\frac{n+1}{2}$ of the numbers $1$, $2$, ..., $n$.
In fact, something stronger is true: the average already equals $\frac{n+1}{2}$ if we only consider the $k$-element subsets of $\{1,2,\ldots,n\}$ for some $1 \leq k \leq n$. There are $\binom{n}{k}$ such sets and each $1 \leq i \leq n$ occurs in exactly $\binom{n-1}{k-1}$ of them (there are that many ways to choose the remaining elements). This means that the sum of the elements of each $k$-element set, summed over all sets, equals $\binom{n-1}{k-1}(1+2+\cdots+n)$. The sum of all averages equals $\frac{1}{k} \binom{n-1}{k-1}(1+2+\cdots+n)$ and this is equal to $\binom{n}{k} \frac{n+1}{2}$ by the property $\binom{n}{k} = \frac{n}{k} \binom{n-1}{k-1}$. Therefore, the sum of all averages equals $\frac{n+1}{2}$ times the total number of sets under consideration, meaning that the average of the averages equals $\frac{n+1}{2}$