The fact that 13 points is enough to guarantee somed set of four with lattice point centroid has been shown in the comments, thanks to Steve Kass. This answer is hopefully an example of 12 points that don't work, as suggested by hardmath.
EDIT: as hardmath notes in a comment, a previous attempt did not work. This is one that I have checked on maple.
For twelve points which have no subset of 4 with centroid at a lattice point, consider the lattice points:
$$(0,0),\ (0,4),\ (0,8),$$
$$(1,2),\ (1,6),\ (1,10),$$
$$(2,1),\ (2,5),\ (2,9),$$
$$(3,3),\ (3,7),\ (3,11).$$
Note that there are three in each group which are congruent mod $(Z_4)^2$. So another way to look at a computation is to consider three each of the first terms in the four lists, and look at the sums mod $4$.
I did a check of all sets of 4 of the above vertices on maple, to verify that none of the sums have both coordinates $0 \mod 4$, and so none of the centroids are lattice points.
Here is a sketch of how the example can be checked "by hand". Suppose one has the multiset $A=\{ 0,0,0,1,1,1,2,2,2,3,3,3 \}$ of residues mod 4. (three of each residue). There are then only the following six ways to make a sum of $0$ mod $4$ from $A$, and next to each in brackets is the value mod 4 of that sum after interchanging the residues $1$ and $2$:
$0+0+2+2$ : [$2=0+0+1+1$]
$1+1+3+3$ : [$2=2+2+3+3$]
$0+0+1+3$ : [$1=0+0+2+3$]
$1+1+2+0$ : [$2=2+2+2+0$]
$2+2+3+1$ : [$3=1+1+3+2$]
$3+3+0+2$ : [$3=3+3+0+1$]
A look at the four "generating" lattice points $(0,0),(1,2),(2,1),(3,3)$ shows how the generating set was obtained using each residue class mod 4 as first coordinate, and using the first coordinate with 1 and 2 permuted as the second coordinate. Then each of the generating pairs was simply increased mod 4 on the second coordinates to obtain 12 distinct lattice points.