Another amendment.
"quou's" answer is perfect, but it is extremely technical.
The vast majority of game engines and libraries usually resolve these limitations internally, in such a way that as an end user, you will never have these limitations in mint. and you, as a user of these engines, will not have a problem if you use 1000 separate files or if you use a single sprite sheet and although there are performance differences, they are not usually significant in the vast majority of indie developments.
I am not saying that it is not something important, what I am saying is that it depends on each case.
As they already told you, fewer files is usually more optimal, but sometimes it is more comfortable to work with each file separately, in the end it is a matter that depends on many factors, for example, the mugen engine (at least the old one) it asked you that each animation frame of the character be a separate file.
Unity3D has a tool to make it easy to create animations from a sprite-sheet, while another engine doesn't. So in the end it will depend on all these factors if it is better for you to use a separate sprite or a sprite sheet.