There's no official cap, but I know that for Exchange 2000, Microsoft issued a hotfix to deal with some major problems with replication that begin to arise when you go over 1000. That was due to an AD limitation, but this problem supposedly doesn't exist in Exchange 2003.
BUT...I read somewhere else that the limitation was actually in the IIS metabase, and that the 1000-policy limit is still in place. That's not a coded limit, but a limit beyond which you can expect to have problems with IIS starting up the SMTP service. That conversation happened well after the release of 2003, so I assume that it applied to 2003.
Until you get information otherwise from Microsoft, I'd just assume that the waters beyond 1000 policies are murky.
ShackDaddy