There are several factors to consider. The fact that files are large does not mean they are necessarily much slower, if much of the size is because of container data and large text fields. But yes, they will be somewhat slower. And yes, a file size of many GB, with all the data in one file is a little worrisome.
Since you say that the main use of the congregated data would be "business intelligence", then I wonder if you could consider this as "archive" data, which is not expected to change. If so then there is no real problem (though a fair amount of work).
Then all your separate Projects file could "push" data to a central file, when a project is finished (forever). So it would not be "up to date," but might be enough for what they want. The central file would have much the same structure as the other files, which makes it fairly easy to create from a clone, but only necessary fields (both now and future). It could also lose all those many structures needed for data entry and processing (including tables, fields and scripts not needed).
[ I would do this before even attempting to set up any Import scripts.]
Most calculations, especially complex relational ones, could be flattened, with the results into plain fields (mostly number). This can make using the data up to hundreds of times faster, making it much better suited to mass analysis.
Each Project (and other relevant files) would have the central file as an External Data Source, the relevant tables on the Relationship Graph, layouts needed, and all the necessary procedures to push the "fixed" data, usually Imports. Once you have this, that Project file becomes the template for all new ones.
If this structure and procedures are extensive (likely), then my approach would be to build a solid "import a project file into a clone", to bring the existing Project files into this new structure. It MUST reset the "next serial ID" of every relevant table. Yes, a bit of a PITA. But:
1. You should have this anyway. It is the best way to restore crashed or damaged files.
2. Once built, it takes a while to run for each, but is completely automated.
This is how I handled a Quoted Price vs Actual Cost for an advertising agency.
It was to allow the principles gauge the salesmen Price Quotes history.
The Computer Guy, Seattle
An animation I made