This is inverted from the model I'm used to for a scenario like this. Usually either the worker, or a local monitoring software on the worker, will 'call in' to SQL (or preferably, a messaging queue) to deliver a status, instead of a polling from the SQL Server. In some cases specialized software goes out and does it for more maintainable customization. This allows for each component to be brought online/offline without server maintenance every time you stand up a new whatzit.
To the original question, no, there's no hard limit, but as mentioned, you'll probably run into an eventual optimization issue for the agent loop. I don't think a few thousand will get you there however unless you're running 10-20 unique schedules (or a few hundred) on each.
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