One way of integrating over a sphere with $p = 1$ is by integrating over $p$ from $0$ to $1$, $\phi$ from $0$ to $\pi$, and $\theta$ from $0$ to $2 \pi$
Here is a link that can graph parametric surfaces in spherical coordinates: http://www.math.uri.edu/~bkaskosz/flashmo/sphplot/
If you enter in what is above, then you will find that the graph is indeed, a sphere. Furthermore, if you integrate $p^2\sin (\phi)$ over these ranges, you will get $\frac {4\pi}{3}$ which is the expected value.
I noticed that $p$ from $0$ to $1$, $\phi$ from $0$ to $2\pi$, and $\theta$ from $0$ to $\pi$ also seems to create a sphere.
Note the subtle change: $\phi$ is from $0$ to $2\pi$ and $\theta$ is from $0$ to $1\pi$. If you plug this in to the grapher, you find that what you get resembles a sphere.
However, when you integrate $p^2\sin (\phi)$ over $p$ from $0$ to $1$, $\phi$ from $0$ to $2\pi$, and $\theta$ from $0$ to $\pi$, you get $0$. Why is that?

When you change to spherical coordinates (with the convention that you seem to be using), the absolute value of the Jacobian determinant is $|\rho^2 \sin \phi|$, and this does only simplify to $\rho^2 \sin\phi$ if $\sin\phi \ge 0$, which is the case in the interval $0 \le \phi \le \pi$, but not in the interval $\pi < \phi < 2 \pi$. But if you instead integrate $|\rho^2 \sin \phi|$ over the ranges that you suggest, then you indeed get $4\pi/3$.