I would lean more towards the second solution by adding drawings in the same locations as the parts or assemblies from which they come (with the same names). But it is difficult to choose for you, as you do not know your sector of activity (What about common rooms, excluding the library, by project?).
We design special machines with assemblies of more than 3000 parts, with a trade-in of " old " parts, which makes us 300 to 400 new parts / assembly per new project. The single file would become big very quickly.
For practical reasons, you should limit the number of files in the same directory. We don't have millions of them (probably less than a thousand) in some directories and it's already running quite a bit in terms of the display time of the icons. EPDM will also look for all the information to be provided if we have the complete view (ownership, modification date, condition...) . This surely explains it
As said by @Maclane, it depends on your way of working, your sector of activity, the history of your company, etc etc ... At the very least, we can give our opinion from the outside if you have any hesitations. But as I often say, the thinker is not the payer!
That said, I have the impression that the choice is already made in your head anyway