@aec2018
Yes, in general - it is not a very PowerApps way to go to display huge amounts of data.
To understand that process with a Gallery - Think about a search engine (Bing or Google for example). When you search one, what would it be like if your search returned 10k results and then the search engine needed to build a massive html page to return to you that had every result in it. You would sit there and wait for quite some time to get your results and then, if the first one is what you wanted, then it just wasted a lot of time and resources to get it. So instead, the top X number of results is returned quickly, then as you want to go further, then more is returned and so on.
Same thing with a Gallery based on a datasource, it will return the first 100 results from it, then as you scroll down, it will load more and more. This way a user is not bombarded with so much information they don't want and have to sit and wait a long time to get it.
If you use a collection you will severely impact performance in the app as, not only will you have the initial loading of that collection to contend with, but then the Gallery will display all of it as it will not page it like a datasource.
As for the filtering of the collection - yes, you have NO limits on the collection (except available memory and resources on the device). Row limits ONLY apply to data interactions external to the app - like a datasource. And as a side-note, that is delegable or not. Meaning, if you have a delegable filter statement for a datasource, but it will return 5000 records, then you will not have a delegation warning, but your filter will only return X number of records - where X is the record limit defined in the app settings.