Will this many keywords get a penalty?

I'm with VetoFunk on Overture. For major terms, I beleiev it is quite accurate. For smaller terms, it can be scewed by robots such as WebPositionGold checks. As long as one accounts for that with smaller searches, it is a great tool.

I will go further than VetoFunk about WordTracker. Not only does it cost money (although you always have access to the free verion online), but it uses a way smaller database that draws results from a single search engine. A smaller database is more easily skewed by robot searches, and is particularly inaccurate for small and even medium-sized searches. Coming form a single search engine, it is more susceptible to being skewed toward a certain demographic.

WordTracker is highly useful for one feature: it tells you which version of a word is most searched for (plural versus singular), whereas Overture gives you just the stem.

After Google SERPs, I find Overture Term Suggestion Tool the most useful SEO tool there is.