After I get to thousands, the interface runs into issues, cannot select entire armies etc but it still runs fine. Getting to tens of thousands gets too dense for most of the existing maps that we have now. I will always wonder though, what if we could have hundreds of thousands, or millions of units... I bet it would be challenging to command such an army.
You'd need high levels of AI automation then, changing the game more into a Paradox style one.
Not that I'd mind personally and one could adopt some solutions from older RTS like Dark Reign or Warzone 2100 to make it viable, I'd love to see those in a sequel.