Simply creating a single FileMaker file to store your data is a perfectly fine way to start your solution. However, the first few times any number of users start complaining about the workflow taking too long, is when you may need to evaluate your architecture.
For sure, FileMaker Pro is a very capable platform. Like any thing else in the world of tech, there are less efficient implementations and highly optimized solutions. A knowledgable developer will known how to squeeze every bit of performance out of the environment they've chosen to develop within. The same holds true for FileMaker as for any other programming language.