How many documents is to much for a Document Set and Record center?

Hi,

first off Brents reply is really good. Second it looks like you did your homework.

I've been working with several IMHO rather large environments e.g.:
- 5.000 new documents every month containing millions of documents
- collaboration environements with tens of millions of documents

What I would like to emphasize is: Know your limits! This is what a foundation is for a building. If you mess that up... #DOH.
Since you didn't mention the version of SharePoint you are using they are:
SharePoint Online - https://technet.microsoft.com/en-us/library/mt842345.aspx
SharePoint 2016 - https://docs.microsoft.com/nl-nl/SharePoint/install/software-boundaries-and-limits-0
SharePoint 2013 - https://docs.microsoft.com/nl-nl/SharePoint/install/software-boundaries-and-limits

Your story isn't clear about your information architecture.
Is het perhaps possible to create multiple archives?
Let's say you need to keep documents of a certain type for 7 years.
Perhaps in the first 2 years there is (e.g) a 15% change that you actually need it.
When the document is 3-7 years old the chances you need it deminish.

Some last ramblings:
Why are you using Document Sets. If you have a good reason: perfect. These could give you nightmares. Suppose you need to restore 1 document from a document set?
Are you allowed to modify the document set because you need 1 document?

To elaborate on the answer Brent gave. Indexes are a very good idea (if you are in SPO you don't need to worry about them, columns are already indexed).
Make you sure SP automaticly creates (sub) folders for archived documents. Then make views based on your metadata (and use the indexed columns).
 
My 2 cents: Check the limits and create an information architecte (including a document life cycle plan)
Maybe these worksheets will help:
http://www.sharepointgeoff.com/planning-worksheets/