Spoiler alert: It's just a Riemann sum. This is like being surprised that (1+10^-100)^(10^100) approximates e astonishingly accurately.
Edit: I'm an idiot, and blind. It was 'n', not pi.
(1 + 1/n)^n = e^(log(1 + 1/n) * n)
Now from the Taylor series approximation: log(1 + t) = t - t^2/2 + t^3/3 - t^4/4 + ...
Substitute that in and we get: e^(log(1 + 1/n) * n)
= e^((1/n - 1/(2 n^2) + 1/(3 n^3) - ...) n)
= e^(1 - 1/(2n) + 1/(3n^2) - ...)
And now you can apply the tangent line approximation to find that this is: e - e/(2n) + O(1/n^2)
So if n = 10^N, then the first error should be around the N'th digit.