I like the fact that you are apparently thinking out of the box with using WP but I can't see where you are heading when you say you are not using WP as a blog...
If you made thousands of categories just for the SEO benefits of the resulting feeds, you still need the posts that those feeds are based on to be displayed in order to be indexed even if you are mass submitting your feed urls.
I assume you are automating the posting process so I don't see why you need the manual admin area to display nicely without all those categories if you aren't using it.
