You don’t have to make it the exact size, but you do have to up the resolution in the Raster Effects Setting in the Effect menu if you intend to scale it.
The great thing about modern Illustrator is this can be changed at any time.
For instance, if your final piece is 100% and your output resolution is 300ppi, then it should look like the image above. If you are going to output at 200%, then your RES should be 600ppi (apply under other,) because when you double the size in the layout program, you halve the resolution, just like with images.
Yes, the file will be larger. Much larger. Just like with large images. Apply multiple effects and not only is the file larger, it takes more ram and can bog down to a crawl. Illustrator is not meant for multilevel raster effect art.