vb staff has frequently commented that this incurs a performance issue to the overall site if you have a lot of long threads. (no issues to the thread itself) If you have more than enough hardware to throw at it, its not noticeable, but it makes quite some difference in how much resources are needed. I had hundreds of threads longer than 1000 or even tens of thousands.
It's an issue with vBulletin and many other systems because they use a LIMIT OFFSET to page through thread pages. XenForo Doesn't do that though... the "position" column in the post table handles it much more efficiently and I don't see any reason you couldn't have a billion posts in a thread with any issues.
That doesn't seem to be an issue in FlyerTalk (vB-based forum). This thread is over 80K posts & growing: The Delta Forum Lounge Thread — Everybody is Welcome!. An earlier version of the thread did blow chow but the current incarnation is going strong.
Megathreads are quite common in FlyerTalk.
Very much appreciated Mike. (It should be noted that Mike was kind enough to help script earlier fixes for this wonky problem on mega threads.) On Milepoint(somewhat a sister to FlyerTalk and yes mega threads seem to run in the family!) which is running XF, we did have problems when large threads grew. A thread (Teh Penalty Box) started to go wonky at about 65K replies. A restart thread went to 100K before it went wonky and the current restart is at 87K in replies and is still stable. We'll be upgrading to 1.2 soon and then will have to make a decision to merge the three existing threads back into a single thread which would make it +/- 250K in replies or leave it in parts. And actually the history of FlyerTalk is that vB presented several challenges for mega threads throughout its history (none of them pretty challenges either!), just one of many reasons why the newer additions to the family moved on to XF and have never looked back at vB.