The only limitations are those of your file system, though I suggest to keep your folders smaller than the 2 GB that FAT32 allows.

Every folder in TB keeps its message base in its own directory and there's no limit on the amount of folders that you can use.

Extreme large folders with lots of messages tend to make TB a bit sluggish, but my biggest folder contains 23000 messages and TB browses that folder quite fast. Of course the amount of installed RAM will help on this.

The only thing TB doesn't handle very well is a big inbox. I don't store lots of messages in my inbox, practically everything gets filtered into other folders, so I don't experience any problems there, but large inboxes have a bigger chance to corrupt.