Honestly, in all but the most extreme situations, you will have a lack of resources for your application before you exceed the number of supported connections. IIS can handle a crazy amount of clean network connections, but ultimately it comes down to the fact that your application can quickly process data from them.
If you really expect to scale it to thousands of users at the same time, I would go further and build in your project to be able to scale to several interface servers. Most likely, it will look like a load balancer or reverse proxy server that balances these HTTP connections between external servers, and these front-end servers process and exchange data with the central SQL database or some other storage mechanism.
Edit: Another point regarding a single server scenario is that no matter how many IIS connections it can handle, your firewall also has its limits. This is usually also a crazy amount, but you also need to look at your firewall if you really want to find the ceiling.
Brandon
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