I give a proof that the sequence is eventually periodic with period $L:=\mbox{lcm}(p-1,p-2,\ldots,1)$. I was not able to prove that this is the minimal eventual period, but I have some observations which I think are pretty good evidence.
Proposition: The sequence is eventually periodic with period $L:=\mbox{lcm}(p-1,p-2,\ldots,1)$.
Proof: First, note that $1\leq x_i\leq p-1$ for all $i$, which follows from $0\leq((p\cdot i-1)\ \mbox{mod}\ x_i)\leq x_i-1$ by induction. It follows that $x_i|L$ for all $i$. In order to determine the value of $((p\cdot i-1)\ \mbox{mod}\ x_i)$, it is thus sufficient to know the value of $i$ modulo $L$.
Since $p$ is prime, we have $\mbox{gcd}(p,L)=1$. By Bézout's identity, we find $i,j$ with $p\cdot i+L\cdot j=1$, so $p\cdot i-1\equiv 0\ (\mbox{mod}\ L)$. For all $k$, we have $x_{i+k\cdot L}|L$, and thus $$x_{i+k\cdot L+1}=p-1+((p\cdot(i+k\cdot L)-1)\ \mbox{mod}\ x_{i+k\cdot L})=p-1.$$ By the previous discussion, from $x_{i+1}=x_{i+1+L}$ it follows that $x_{i+j}=x_{i+j+L}$ for all $j\geq1$. We find that the sequence is eventually periodic with period $L$. $\square$
Remark: Note that it follows from the proof that the period also begins within the first $L$ terms.
Remark: Note that the same proof applies to the recurrence $x_{i+1}=p-1-((a\cdot i+b)\ \mbox{mod}\ x_i)$ for any $a,b$ with $a$ coprime with $L$, meaning all prime factors of $a$ are at least as large as $p$.
I am not sure whether $L$ is always the minimal eventual period of the sequence, but I think the following is pretty good evidence for the affirmative.
Proposition: If the sequence is periodic with period $K$ for $i\geq N$, then $x_i|K$ for all $i\geq N$.
Proof: Assume for the contrary that $x_i\not|K$ for some $i\geq N$. By $x_i\leq p-1$, it follows that $x_i\not|p\cdot K$, so $p\cdot i-1\not\equiv p\cdot(i+K)-1\ (\mbox{mod}\ x_i)$. This is in contradiction with $x_i=x_{i+K}$ and $x_{i+1}=x_{i+K+1}$. $\square$
We want to prove that $L|K$. It would thus suffice to show, for all $1\leq n\leq p-1$, there exists $i\geq N$ with $n|x_i$. The following argument almost proves this, but not quite.
By Bézout's identity, we find $i$ with $p\cdot i\equiv p-n\ (\mbox{mod}\ L)$. This gives $$x_{i+1}=p-1-((p\cdot i-1)\ \mbox{mod}\ x_i)=p-1-((p-1-n)\ \mbox{mod}\ x_i).$$ If $p-n-1\leq x_i$, then this would give $x_{i+1}=n$. By taking multiples of $n$ instead, this event can be made more likely, but it is still not certain.
For your Edit (1/19/17), it is also relevant to find $x_i$ divisible by certain numbers, so we run into the same issues.
ZeroDivisionError
for every value of $p$ I've tried. Are you sure you have it right? – Jack M Apr 20 '14 at 18:48