Alex,
let's go back to the design guide. 500 is the recommended number of device for that hw, however there is no hard limit on the number of device that you can import. So there are chance that if you import 2000 device your CSM still works fine.
However this really depends on the number/complexity of the policies you have on these devices and you might hit peformance issue even with less then 500 devices if these policies are too complex, as stated in the doc:
http://www.cisco.com/en/US/docs/security/security_management/cisco_security_manager/security_manager/4.0/deployment/guide/cmsdg40.html#wp44044
Now, most likely 2000 device on a single server might be too much and you might notice some performance hit, so you might want to use different servers to manage your devices (this is usually good choice). The way you organize your servers is arbitrary (you can do per location, per device type per technology etc...) An idea on how to organize multiple servers is given in the deployment guide as well:
http://www.cisco.com/en/US/docs/security/security_management/cisco_security_manager/security_manager/4.0/deployment/guide/cmsdg40.html#wp45159
I advice anyway to reach your Account Team, they will be able to suggest the solution that best fits your requirements
Hope this helps
Stefano
