It should, as the default picking process is testing at the face level. See https://playground.babylonjs.com/#RC2IAH#1 which has 64000 instances but is still fast nonetheless because the primitive is a cube.
You can do the picking yourself instead of using the default one and enable fastCheck to stay at the bounding box level testing. But doing so you will get wrong results depending on the camera position/rotation and the primitive you try to pick:
You can try GPU picking, see for eg GPU picking demo.