Hi, and welcome to Magento.
Yes, I don't think it's going to be easy to find this information. I don't know that I've seen any public stress tests to test the limits of Magento 2. It would be difficult to do because it depends on so many factors. It's hard to test the number of categories alone and what specific problems you might run into with a large number. It also depends on what kind of server you run as a bigger server will often hide those weaknesses
If that's a core project risk for you, I would recommend getting Magento 2 installed and writing a script to generate a large number of test categories at the depth that you expect and see how it functions.
Once you have your setup, the best tool for finding and optimising for weaknesses and customising your setup is probably Blackfire.
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