I have seen warnings from Hivemq about subscribing to wildcard topics with an mqtt client. What kind of limits do MQTT clients usually have for consuming large numbers of messages?

This question was asked by Dan Davies during the MQTT 5 webinar.
It is impossible to answer this question in a general manner, as the amount of messages that can be consumed by a single client is largely dependant on the specific implementation.
High performance implementations like the Hive MQTT Client Library are specifically designed to handle a 5 digit amount of messages per second, while other libraries may struggle with handling more than 1000 msg/s.
Generally speaking it is a good idea to utilize Shared Subscriptions for “root wildcard backend subscriber” scenarios, as it allows client load balancing.