Left Anti Join will definitely work with over one million records. In fact, I just ran a query with a
Left Anti Join on ~4.2 million records and it executed successfully, though it did take a noticeable amount of time to run.
One problem you might face is query selectivity. If you investigate the
Query Plan for such queries, you will find that they cause a
Table Scan. So while it seems unlikely you will hit an upper bound on the number of rows included in the join, querying against a large table (>100k) in your top-level query might throw non-selective query errors for inner or anti joins.
One more consideration is that while your query processing time doesn't count against the CPU limit, you might increase the chance of timeouts if you connect this sort of query to a webservice or REST endpoint.