Hi Satya,
For sure keeping over 1million incident in DB could decrease DLP performance.
Best way to solve this is to delete some incidents in your database, for example by removing false positive incident, or older ones (or any other criteria acceptable for your company).
If it si only the alert which bother you, you can increase this threshold in enforce configuration file Manager.properties (but i did not think it is good things to do).
On other point that you have to think about is how many times it takes to reach this number of incident. If it takes less than a year, you should think about tuning your DLP policies.
regards