What does the SMS limit per conversation do?
What happens is this, depending on the settings within SMS App, (really its actually MMS app), 'Delete Old Messages' option Delete old messages as limits are reached, if that was checked, then once it hits the threshold of 200 texts, Android will wipe them, to make room for more incoming messages.

Now, If that was not checked, Android does nothing but... it will slow down the handset to a crawl because it is loaded down with say, hundreds of messages, because Android is keeping track of it.

If you really care about your SMS, it might be best to use SMS Backup Restore and just back them up periodically.