Just thought I would add this as I am currently creating a website (www.gparts.co.uk) and I am no where near finished and it currently stands on 5007 pages. The site take around 5-10 minutes to upload!
The sitemap is completely unusable and crashes some browsers.
I see what you mean, but notice that the Discount Heating site has split the html sitemap into 23 parts of 1,000 lines and lists 22,627 pages - presumably using some sort of generator.
I agree 'parent' level sitemap makes more sense but I think an xml sitemap (albeit large) may be more appropriate in this case - users have standard navigation - they don't need a sitemap.
You could use either method, however I suspect external linking may be very slow with a very large number of products. In my client's case we have set up semi-automated Excel workbooks that will create an hierarchical import file from the product data.
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