EG works well with large data -- bring it on!
The key is often in how you access the data. It's always best to define the data in terms of the remote server, using a libname and the appropriate engine to get to Oracle, DB2, SPDS, whatever. By using libraries defined in this way, data access performance should be comparable to what you would experience in SAS natively. EG does not retrieve millions of rows to the client machine -- it reads the data in buffered increments as required for display in the data grid.
EG provides other convenient avenues to get to data sources. It has built-in hooks for ODBC, OLEDB, OLEDB for OLAP, and MS Exchange. Typically data access for reading (opening in the grid) is very fast when using these data sources. However, you can have performance issues when you attempt to run a task or a query on one of these "non-SAS" data sources. The reason is that in order for EG to process the task, it must move the data to the server where the code will run. For large volumes of data this can be slow. That's why we always recommend going through the appropriate SAS/ACCESS or database engine on the SAS server to get to your data.
Chris