It does support maximum of 500,000 concurrent connections. However, since you have change the timeout to be 24 hours, the connection does not get torn down and there might be lots of idle connection. So even you are seeing 1 million in use connections, the real active connection might not be that many.
I don't believe there is any syslog error messages that will tell you when it can't allocate anymore connection on the PIX. I have searched through the entire PIX syslog, and coulnd't find any.