Fetch data from a Web API query, all the data at once or implement a paginated approach?

I have this custom data connector that gets data from a list of queries from an API.

The user chooses one or more queries from a Navigator List, the connector gets all the data from them to Load to Query Editor. 
I've been asked to do this by requesting 1000 records at a time to the API, and to prompt the user that there is more and if he wants to get more data.

I've seen several blog posts about how to do a similar approach (except for the user prompt thing), and i actually got closer, even though the API i'm requesting doesn't have a page parameter in the url.

I don't know if it would make a difference if i called the api several times for 1000 records and then append to the original query, or if i should leave it as is (working), and make only one request to fetch ALL the data. 

Is it bad for the API if one request is too big? Is it better practice to request few at a time?

Is the prompt in the connector navigation table feasible? 

Thank you.