Not in particular for group policies on MXs appliances but have implemented similar number L3 rules for two different model of MRs APs. I was told dashboard has a limit of 5000 entries in the GUI for html parsing reasons, so shouldn't be an issue viewing via Dashboard. I'd be more concerned about the possibility of device hitting a wall depending on what you're configuring in each group policy and beefiness of MX model being used, especially if you have AMP and IDP turned on as well.
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