I will attempt one myself. I will gladly accept a better answer from Travis Brown or Miles Sabin.
Nat can currently not be used to represent large numbers
In the current implementation of Nat, the value corresponds to the number of nested shapeless.Succ[] types:
scala> Nat(3)
res10: shapeless.Succ[shapeless.Succ[shapeless.Succ[shapeless._0]]] = Succ()
So to represent the number 1000000, you would have a type that is nested 1000000 levels deep, which would definitely blow up the scala compiler. The current limit seems to be about 400 from experimentation, but for reasonable compile times it would probably be best to stay below 50.
However, there is a way to encode large integers or other values at type level, provided that you do not want to do calculations on them. The only thing you can do with those as far as I know is to check if they are equal or not. See below.
scala> type OneMillion = Witness.`1000000`.T
defined type alias OneMillion
scala> type AlsoOneMillion = Witness.`1000000`.T
defined type alias AlsoOneMillion
scala> type OneMillionAndOne = Witness.`1000001`.T
defined type alias OneMillionAndOne
scala> implicitly[OneMillion =:= AlsoOneMillion]
res0: =:=[OneMillion,AlsoOneMillion] = <function1>
scala> implicitly[OneMillion =:= OneMillionAndOne]
<console>:16: error: Cannot prove that OneMillion =:= OneMillionAndOne.
implicitly[OneMillion =:= OneMillionAndOne]
^
This could be used to e.g. enforce same array size when doing bit operations on Array[Byte].