When you differentiate $p(\rho,T)$ with respect to $\rho$, you vary $\rho$ while you hold $T$ fixed, which you can do because $T$ is not a function of $\rho,$
and as a result, $p$ varies.
On the other hand, when you differentiate $T(\rho,p)$ with respect to $\rho,$ now $p$ is not allowed to vary at all, and instead $T$ varies.
In other words, clamp $p$ to a fixed value and wiggle $\rho$ around, and $T$ varies.
Clamp $T$ to a fixed value and wiggle $\rho$ around, and $T$ doesn't vary.
Surprising? Hardly.
One viewpoint is that
partial differentiation tells you what happens to a function defined in a
particular way with respect to its parameters, as you vary the values of those parameters.
The function $T(\rho,p) = \dfrac p{\rho R}$ --that is, $T$ as a function of independent parameters $\rho$ and $p$-- is a completely different animal from the independent parameter $T$ of the function $p(\rho,T) = \rho RT.$
If it were not, you could write
$$p(\rho,T(\rho,p)) = \rho RT = \rho R\left(\dfrac p{\rho R}\right) = p,$$
in other words, $p$ is what it is no matter what value of $\rho$ you plug in on the left side of that equation. This is just silly. (And it shows that the concerns expressed about a "recursive definition" in the original question are not silly at all.)
If you are dealing with a problem domain in which you must simultaneously define partial derivatives in different ways with respect to the same variables, then it's useful to keep track of how you defined those derivatives. For example, when you took the partial derivative of $T(\rho,p)$ with respect to $\rho,$ you found that
$$\left(\dfrac{\partial T}{\partial \rho}\right)_p = -\dfrac{p}{\rho^2 R}.$$
The subscript $p$ on the left side of this equation denotes the fact that you found this partial derivative by holding $p$ fixed. When you first took a partial derivative
of $T$ with respect to $\rho$ --that is, when you were considering them as independent
parameters of $p(\rho,T)$-- what you actually found was that
$$\left(\dfrac{\partial T}{\partial \rho}\right)_T = 0.$$