We have a system sending almost 500 thousand messages about 2 to 3 times a day. CF has no problem with this, if you have sufficient resources - these are decent disks and space, enough heap space and (especially) a well-functioning SMTP relay. In our case, we created a special relay server, which we could carefully configure.
CF Mail did not have any serious problems since ColdFusion 7. CF 8 and CF 9 work well. There is a level at which I would suggest another system to be sure - and other requirements may mean that you will be better off with SaaS, but in terms of performance, 20k messages are pretty small and shouldn't be a problem for an enterprise-class server.
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