Hey Sam :)
unlikely that a million people would be on your site all using the same control at the exact same time...I would argue almost impossible unless you're google. However SQL should still be able to handle a simple select\filter query without breaking a sweat :) You're server environment should be severely
load balanced anyway if you're planning on that kind of traffic. SQL uses connection pooling anyway
If you put 5000+ items clientside you're DRASTICALLY increasing the size of your markup, so even if the user doesn't use that combo they're getting a bloated page. Browser will download the html, then parse out what it needs to display, so the longer it takes for the html to get there (and the larger the size) the slower your page will appear to load. Even firebug will start to chug if the markup is too large.
Also (right now anyway) the clientside filtering on large results is pretty slow...I think they're working on speeding it up right now.
Webservice binding is the fastest way atm to keep your markup clean and filter large resultsets unquestioned.