I'm interested in behavior of the following sum as a function of $s$
$$\frac{1}{n}\sum_{i=1}^n \left(1-\frac{1}{i}\right)^s$$
For $n=1000$ and $s\in (1,10000)$, this seems almost linear on a log-plot (notebook), any tips how to model this analytically?

I assume you are interested in asymptotics. It seems you are interested in both large $s$ and large $n$. The answer will be different depending on whether $s \ll n$ or $n \ll s$.
For $s \ll n$:
Since you are taking an average of an arbitrarily large sum, asymptotically any finite number of terms will not matter. This is enough to assume that $1/i \ll 1$. This allows you to use the approximation
$$(1+x)^s \approx 1+sx$$ which is valid for small $x$. This is the tangent line approximation.
This gives
\begin{align*} \frac{1}{n}\sum_{i=1}^n \left(1-\frac{1}{i}\right)^s &\approx \frac{1}{n}\sum_{i=1}^n \left(1-\frac{s}{i}\right) \\ &= 1 - \frac{1}{n}\sum_{i=1}^n \frac{s}{i} \end{align*}
Now use the further asymptotic approximation for the harmonic series:
$$\sum_{i=1}^n \frac{1}{i} \approx \log n$$
to get
\begin{align*} 1 - \frac{1}{n}\sum_{i=1}^n \left(\frac{s}{i}\right) &\approx 1 - \frac{s\log n}{n}. \end{align*}
For $n \ll s$:
In this case, assuming we are considering $s$ to be arbitrarily large while $n$ is fixed, we eventually have
$$(1-1/2)^s \ll (1-1/3)^s \ll (1-1/4)^s \ll \cdots \ll (1-1/n)^s.$$
In this case the first $n-1$ terms become negligible and only the last term is dominant. Then we get
$$\frac{1}{n}\sum_{i=1}^n \left(1-\frac{1}{i}\right)^s \approx \frac{1}{n} \left(1-\frac{1}{n}\right)^s$$
as $s\rightarrow \infty$.
For $0 \ll s \approx n$:
Of this I am not sure. You may need to specify more carefully the relation between $s$ and $n$.