There is a reported bug (now marked as "fixed" on the internal bug list) where applying Wendy flags via a "Soup" view fails, while doing it via a playlist view works.

I assume that since you're trying to do it on so many files at once, that you're doing it in a Soup view. Is that correct?

It might be interesting to temporarily copy those thousand files to a new playlist, add your Wendys, and synch. Then remove the playlist without deleting the tunes. Does that work?