One way to determine the completion of a space is to make the correct wild guess about what the completion is. Although maybe the guess does not need to be so wild, maybe there's a clue.
For this problem, you can get a clue by looking at the formula
$$\rho(m,n) = |e^{in} - e^{im}|
$$
Break this formula into parts: define a function
$$f : \mathbb{Z} \to \mathbb{C}
$$
by the formula
$$f(n) = e^{in}
$$
Denote the usual Euclidean metric on $\mathbb{C}$ as
$$d(w,z) = |w-z|
$$
The formula for $\rho$ can then be rewritten as
$$\rho(m,n) = d(f(n),f(m))
$$
Furthermore, $f$ is a one-to-one function, because $2\pi$ is irrational: if $f(m)=f(n)$ then $e^{in}=e^{im}$ so $e^{i(n-m)}=1$ so $n-m$ is a multiple of $2 \pi$, so $n=m$.
It follows that $f$ is an isometry from $Z$ to its image $f(Z) \in \mathbb{C}$.
Now there's a general theorem: for any complete metric space $M$ and any subset $A \subset M$ endowed with the restricted metric, the completion of $A$ is the closure of $A$. And the Euclidean metric on the plane $\mathbb{C}$ is a complete metric space.
So, the completion of $Z$ in the metric $\rho$ is isometric to the closure of $f(Z)$ in $\mathbb{C}$.
Can you determine the closure of $f(Z)$ in $\mathbb{C}$?