The 34401A has averaging built in (via the Min Max function), but this can't be used for BenchView.
BenchView does not offer any live math functions during data acquisition, and especially not a rolling average.
So you would have to write your own routine, that's quite simple in any language, and you have the additional advantage to use more than 6 digits from the A/D, for better convergence of the statistical functions.
Frank