Let $n$ be a positive integer, $f:\mathbb R^n\to\mathbb R$ be the map $(x_1,\ldots,x_n)\mapsto \prod_{i=1}^n x_i$, and $$\overline D_1(0) = \left\{x\in\mathbb R^n: \sum_{i=1}^n x_i^2\leqslant 1 \right\}$$be the closed unit disk centered at $0$. Then $$\int_{\overline D_1(0)}f\ \mathsf d\lambda=0 $$ where $\lambda$ is Lebesgue measure.
My argument: The magnitude of the integral of $f$ over each orthant of $\mathbb R^n$ is the same, and $f$ is positive on half of them and negative on the rest, and hence summing the integrals of $f$ over each orthant yields $0$.
I verified the result for $n=1,2,3$ but I'm not entirely convinced my proof is rigorous.
Your analysis is just fine.
If you call the product $f$, then it's clear that $$ f(x_1, \ldots, x_n) = - f(x_1, \ldots, -x_n) $$ so that integrating with respect to $x_n$, from $-1$ to $1$, gives you zero. Since your whole integral can be written as an iterated integral, you're done.
(essentially this is your "even/odd" argument, but done along one direction only.)