In the latest version of PKHeX, you cannot enter more than 999 Mega Shards.

[leehan]

메가 샤드를 9999로 설정하고 싶은데, 세 자리 숫자 이상 입력할 수 없어요. 해결 방법이 있을까요?

Edited February 12 by leehan

[Kaphotics]

The previous release had fixed the program to not decrease values that were above 999. Shortly after release, a fix was added to allow more than 3 digits to be entered. 

https://github.com/kwsch/PKHeX/commit/91ac18dd34cfa6871c5cafa0024629ed1102a72c

The next release will be made available in the next few days along with the new Box Search feature, but if you cannot wait you can always try the Development build: