Apparently the system is supposed to work well with only 2,000 messages...If you sync your messages using Nokia Suite you can see that if you have more than 2000 messages it advices you to allow it to clean up and store those messages on your PC but delete them from your phone...

Its a deficiency of Harmattan from what I see it as...Android too was restricted to 5,000 messages till ICS after which the limit is now 10,000 messages before it starts to lag and causes all sorts of issues...