In Landau–Lifshitz's Course of Theoretical Physics, Vol. 2 (‘Classical Fields Theory’), Ch. IV, § 27, there is an explanation why the field equations should be linear differential equations. It goes like this:
Every solution of the field equations gives a field that can exist in nature. According to the principle of superposition, the sum of any such fields must be a field that can exist in nature, that is, must satisfy the field equations.
As is well known, linear differential equations have just this property, that the sum of any solutions is also a solution. Consequently, the field equations must be linear differential equation.
Actually, this reasoning is not logically valid. Not only the authors forget to explain the word ‘differential’, but they also do not actually prove that the field equations must be linear. (Just in case: this observation is not due to me.) But it seems that the last issue can be easily overcome. However, it is exactly the word ‘differential’, not ‘linear’, that is bothering me.
There is a nice theorem of Peetre stating that the linear operator $D$ that acts on (the ring of) functions and does not increase supports, that is, $\mathop{\mathrm{supp}} f \supset \mathop{\mathrm{supp}} Df$, must be a differential operator. The property of preserving supports can be considered as a certain locality property. Hence, the field equations must be differential because all interactions must propagate with a finite velocity.
But there is another notion of ‘locality’ of an operator: the operator $D$ is called local if the function $Df$ in the neighbourhood $V$ can be computed with $f$ determined only on $V$ as well, i.e., $(Df)|_V$ is completely defined by $f|_V$. The locality in this sense is not equivalent to the locality in the sense of supports' preserving. (Unfortunately, I do not have an illustrative example at hand right now, so there is a possibility of mistake $M$ hiding here.)
The question is: what physical circumstances determine the (correct one) notion of locality for a given physical problem? (Assuming there is no mistake $M$.) And does my reasoning really justifies the word ‘differential’ in the context of field equations? If so, are there any references containing more accurate argument than the one presented in Landau–Lifshitz's Course?