Disclaimer: my notation here differs from yours: My variable $z$ is your variable $1/z$. So $z=0$ for me is $z=\infty$ for you and vice-versa.
If we think about the $AdS_{p+1}$ space as embedded on $\mathbb{R}^{2,p}$ as
$$ X^{I}X_{I}=-R^{2} $$
The $AdS_{p+1}$ metric becomes the induced metric from $\mathbb{R}^{2,p}$, i.e.
$$ ds^{2}=dX^{I}dX_{I} $$
The boundary is defined as the $n_{I}X^{I}\rightarrow \infty$ for all possible $n_{I}$ compatible with the constraint above. If we rescale the $X^{I}$ variables in order to maintain them finite as we approach the boundary we obtain a parameterization of the boundary in terms of projective coordinates $\bar X^{I}$
$$ \bar X^{I}\cong \Lambda \bar X^{I},\qquad \bar X^{I} \bar X_{I} = 0 $$
where the radius $R$ goes to zero because of the re-scaling.
Now, once we cover a patch of $AdS_{p+1}$ by coordinates, what we should look after is the intersection of boundary defined above with our patch. It is not guaranteed that our patch will cover the whole boundary.
The boundary have the topology $$ \frac{S^{p-1}\times S^{1}}{\mathbb{Z}_2} $$ where $S^{1}$ is a closed time-like curve. Doing a universal cover opens this closed time-like curves into $\mathbb{R}_t$, which makes the boundary $$ S^{p-1}\times\mathbb{R}_t $$
The <PERSON> patch is the patch of $AdS_{p+1}$ covered by the <PERSON> coordinates:
$$ X^{+}=\left(\frac{1}{z}+z\,x^{\mu}x_{\mu}\right),\quad X^{-}=R^{2}z,\quad X^{\mu}=Rz\,x^{\mu} $$
where $x^{0}$ is the time coordinate and $z>0$. This does not cover the entire $AdS_{p+1}$ space but only the patch where $X^{-}>0$. 586
At $X^{-}\rightarrow 0$, which in our coordinates is $z\rightarrow 0$, we have an horizon in which our time coordinate $x^{0}$ never cross. You can compare with the situation with the <PERSON> coordinates for flat space.
The part of the boundary of $AdS_{p+1}$ that is contained in our patch is given by $X^{-}\rightarrow \infty$, which in our coordinates is $z\rightarrow \infty$. This part of the boundary have the topology of $$ \mathbb{R}^{p-1,1} $$ which is different than the topology of the whole boundary.
An interesting thing happens when we perform a <PERSON> rotation $x^{0}\rightarrow ix^{p}$. The horizon $z=0$ closes to a point since the size of the hypersurface defined by holding $z$ fixed shrinks as $z\rightarrow 0$. The same phenomena happens when we do <PERSON> rotation on <PERSON> coordinates. The horizon of the <PERSON> coordinates also shrinks to a point.
This means that the <PERSON> coordinates cover almost all the Euclidean $AdS_{p+1}$ except singular point at $z=0$. This point turns out to be a point of the boundary of Euclidean $AdS_{p+1}$ and the topology of the boundary becomes
$$ S^{p} $$
What happened is that the <PERSON> rotation maps part $\mathbb{R}^{p-1,1}$ of the boundary to $\mathbb{R}^{p}$ and the horizon to mapped a point at infinity of $\mathbb{R}^{p}$, closing it to a $S^{p}$.
You could also make all this claims using the explicit form of the metric
$$ ds^{2}=R^{2}\left(\frac{dz^{2}}{z^{2}} + z^{2}dx^{2}\right) $$
and define the boundary to be the place where the metric truly diverges, i.e. 419