You can set multiple key/value pairs in one call. See the https://docs.splunk.com/Documentation/Splunk/8.2.6/RESTREF/RESTkvstore#storage.2Fcollections.2Fdata....
You're of course limited by the REST API request limits (I'm not sure how big they are).
And I'm not sure why you're refering to KV-store as "events". Events are one thing and you post them to other endpoints (like /services/collector/event), KV Store is another thing.