There is no limit on how many PDFs DEVONthink can handle. It’s safe to store all PDFs in one database, but you should make sure to backup your database regularly. PDFs are stores as separate files in the database package so they’re safe even when DEVONthink itself should stop working.
You can store them on both your local Mac or a file server. A file server may be safer depending on your configuration but is also much slower.