Roles/users are backed by PG tables, so I imagine storing them should be no more difficult. (Assuming partitioning and other native features are available.) Yet I'm not sure how well it would scale all the row checks for read and write access, especially if you also use column level security.

Proxying connections for so many different users would be awkward too, though some proxies apparently can take on a different role for the session and revert when client-side disconnects.