Not at all!!! 

The reason that we have never done this is because there are better ways to work through large data sets.  This is, I beleive, what Greg was reffering to in his post regarding "SQL base."  You are correct that VFP could handle 1 million records plus very easily...but SQL can go MUCH bigger.  You are used to working in a "connected" data environment, which was FoxPro and the reason for all of the corrupted memo fields   With SQL Server and business objects, you are working in a disconnected environment so you want to work with as little data on the client side as possible.

When we need to work with very large data sets, for example prescription contraindications which can have a a million+ plus records to deal with.  We create an SQL Project and deploy it to SQL Server and then execute it through a stored procedure.  The DDT will automatically create the stored procedures required in order to execute it for you.  What is nice about this all of the work is done on the server, like a T-SQL stored procedure, but you are talking ADO.NET or whatever you you need.  You can then send your ADO.NET results back to the BO.  This is the best approach when dealing with large data sets....or create a T-SQL stored procedure, but this is not nearly as fun