The max limit for a shapefile it's 2GB because offsets in the files are specified with a 32bit integer, in other words, the limit is structural due to the file format.
When downloading shape-zip larger than 2GB GeoServer should split the data into multiple shapefiles, there is logic ensuring that, but in your case, there might be an issue with how offsets ...
You should be able to establish a join between the two sources (the local .shp and the distant wfs) using the common field (id).
To setup the join : right-click on a layer in the layer panel, select properties and then choose the joins tab.
Keep in mind that web services often limit the number of features returned.
So don't expect to do something "too ...
For windows 10, QGIS 3 you can find the settings in :
In case you are planning to clean install your windows and preserve your settings (including plugins), you need to back up this folder and replace it afterward: