Just to clarify here, Web Connection doesn't set any specific number of connections - your application determines that.
Typically though if you're using SQL Server you set up 1 connection per server and that connection stays alive while the server is active, so a typical Web application will use 1 or maybe two SQL Server connections. A multiprocessor box may run more instances and each instance will hold a SQL connection if going to SQL Server.
Most apps I run even high volume ones run 2-5 SQL Connections per server and that would allow MSDE to work. I don't know about performance though. I think MSDE has some throttling built into it once load increases so even with 5 connections but a very busy site you could run into problems.
Of course if you really have a very busy site you can probably afford to use SQL Server in the first place. It's kinda bad to see how much pricing has changed with SQL Server recently. That's really one more consideration for possibly using VFP data...