Have you already read 'Designing large lists and maximising list performance'? http://technet.microsoft.com/en-us/library/cc262813%28v=office.14%29.aspx
If not it is well worth your while.
To answer some of your questions directly;
Yes you can store up to 30,000,000 documents in one library but you need to be careful for obvious reasons.
The threshold view is to prevent a single query sucking down so much resources that it effectively causes a denial of service attack on your farm. The query cost of basic operations like SPList.Items scales linearly, i.e. if it takes 0.2 seconds to process
5,000 complicated list items then it takes 2 seconds for 50,000 items or 1 minute 40 for 25 million items.
SharePoint is a very good tool but it's not perfect, then again that's true of a lot of other CMS tools too. When you're dealing with that sort of content size you have to be careful no matter what platform you use.
