First a note about terminology. It seems in the literature if $\sigma$ is an automorphism of $G$ such that $\sigma^n = 1$ and $g\sigma(g)\sigma^2(g) \cdots \sigma^{n-1}(g) = 1$ for all $g \in G$, we call $\sigma$ a splitting automorphism.
After some searching (experts could probably give more detail), I found that the main result of
Otto H. Kegel, Die Nilpotenz der $H_p$-gruppen, Math. Z. 75 (1961), 373–376
shows that if $G$ is a finite group with a splitting automorphism of prime order, then $G$ must be nilpotent.
The proof by Kegel is based on results of Hughes and Thompson:
D. R. Hughes and J. G. Thompson, The $H_p$-problem and the structure of $H_p$-groups, Pac. J. Math., 9, 1097–1101 (1959).
For a finite group $G$ and prime $p$, let $H_p(G)$ be the subgroup generated by elements of order $\neq p$. Hughes and Thompson show that if $G$ is not a $p$-group, then either $H_p(G) = 1$, $H_p(G) = G$, or $[G:H_p(G)] = p$.
In the case $[G:H_p(G)] = p$, conjugation by any element $g \in G$, $g \not\in H_p(G)$ induces a splitting automorphism of order $p$ on $H_p(G)$.
Conversely, suppose that a group $H$ admits a splitting automorphism $\sigma$ of prime order $p$. Consider the subgroup $G = H \rtimes \langle \sigma \rangle$ of the holomorph of $H$. The definition of a splitting automorphism is precisely that the coset $H\sigma$ consists of elements of order $p$. Then for any integer $k$ coprime to $p$, the coset $H \sigma^k$ also consists of elements of order $p$. This follows from the fact that the map $x \mapsto x^k$ defines a bijection $H\sigma \rightarrow H \sigma^k$ which maps elements of order $p$ to elements of order $p$.
Hence in this case any $g \in G$, $g \not\in H$ has order $p$, so $H_p(G) \leq H$. If $H$ is not a $p$-group, then $H_p(G) \neq 1$ and by the result of Hughes and Thompson we must have $H_p(G) = H$.
So for finite groups which are not $p$-groups, the study of splitting automorphisms of order $p$ comes down to the study of what Hughes and Thompson call "$H_p$-groups", i.e. groups of the form $H_p(G)$, where $G$ is a finite group such that $[G:H_p(G)] = p$. This is seen as a generalization of Frobenius groups, which relate to fixed point free automorphisms of order $p$.
Hughes and Thompson show that a $p$-Sylow of an $H_p$-group has a normal complement which is nilpotent, so in particular $H_p$-groups are solvable. In his paper Kegel continues from there, and shows that $H_p$-groups are nilpotent.
I note the following about the relation between "fixed point free" and "splitting automorphism".
An argument from (Gorenstein, Finite groups, Lemma 1.1 in Chapter 10): suppose that $\sigma$ is a fixed point free automorphism of $G$ of order $n$. Then the mapping $x \mapsto x^{-1}\sigma(x)$ is injective, hence also surjective. Writing $g \in G$ as $g = x^{-1}\sigma(x)$, we see that $g \sigma(g) \cdots \sigma^{n-1}(g) = e$.
So $\sigma$ being fixed point free implies that $\sigma$ is a splitting automorphism.
The converse fails. For $p = 2$, consider $G$ abelian of even order and not elementary abelian. Then $\sigma(g) = g^{-1}$ clearly defines a splitting automorphism of order $2$, but $\sigma$ is not fixed point free. For $p > 2$, consider $G = C_p \times C_p$ and the automorphism $\sigma$ corresponding to $A = \begin{pmatrix} 1 & 1 \\ 0 & 1 \end{pmatrix} \in \operatorname{GL}_2(p)$. Then $A^p = I$ and $I + A + A^2 + \cdots + A^{p-1} = 0$. Thus $\sigma$ is a splitting automorphism of order $p$, but $\sigma$ is not fixed point free.