I don’t think there is any need to split the devices because of limitations in Telegraf specifically, but you might like to split your config up into separate files to make it more manageable.
If you wanted to split the config files up, this issue has a pretty good example and explanation of what you might like to do: https://github.com/influxdata/telegraf/issues/6334
However - if you are finding that it takes too long to walk the MIBs for thousands of devices then I can see that running multiple Telegraf instances in parallel would speed things up for you.
In my experience, SNMP management interfaces on devices are fickle and you might find that some devices respond more reliably and more quickly than others, so perhaps separating your slower responding devices out in to their own config could allow you to poll the more responsive devices more often.
In summary, the trade off here is between ease of maintaining config file(s) vs unreliable devices holding up the gathering of metrics for your faster responding devices.
There is nothing in Telegraf which would prevent you from setting things up in either of these ways.
I would start out with a single Telegraf instance and multiple config files and if that doesn’t perform reliably for you because of unstable devices, split those off in to a different Telegraf set up.