While several approaches to query a federation of SPARQL endpoints have been proposed in the literature, very little is known about the effectiveness of these approaches and the behaviour of the resulting query engines for cases in which the number of federation members increases. The existing benchmarks that are typically used to evaluate SPARQL federation engines do not consider such a form of scalability. In this paper, we set out to close this knowledge gap by investigating the behaviour of 4 state-of-the-art SPARQL federation engines using a novel benchmark designed for scalability experiments. Based on the benchmark, we show that scalability is a challenge for each of these engines, especially with respect to the effectiveness of their source selection \& query decomposition approaches. FedShop is freely available online at https://github.com/GDD-Nantes/FedShop.