Hi Joo,
Everything Lutz said is right, holding a few thousand persistent entities in memory should be no problem - the main caveat is that your entities aren't ridiculously large. You can estimate the size of your entities by serializing them to JSON and seeing how many bytes that is - that's only a very rough approximation, but it's the right ballpark. So, let's say each entity is 2kb of JSON, then a few thousand entities is going to be less than 10mb to hold all the entities, plus each entity has a small amount of memory overhead for the actor that runs it, but it's less than 1kb. So, from a memory perspective, you will have no problems.
To answer your question on performance testing, we have done some rudimentary performance testing, and plan to create some automated nightly load tests to do more. What we've done so far is ensure that Lagom doesn't have any gaping performance issues, and this includes persistent entities. But we haven't done a lot of performance tuning yet, this will happen over time.
Regards,
James