Is there any place where a player can see this limit? Or is it something you learn from support?It looks like the initial limit is 2740KP that each player can receive, across all wonders, from all donators. You increase that by donating to other players' AWs. So, if you donate 20KP to another player, your new limit is 2760. Once you finish a research level, the value of all chests is added to your total cap. There is also, apparently, an 80KP per day increase to the base.
So, you can't go hog wild on day one, but it should be manageable over time.