They add toward your entity count. Try to stay under 1000 for 32 player servers. If you go over 1600 you'll get an edict crash and TF2 dies. The 1000-1600 is a buffer to allow for all the bullets, bombs, etc that are blowing up. To many cubemaps can sometimes push the threshold and may cause glitching. You can also cut down on the entity counts by disabling bone followers on dynamic content thus potential better lighting without the added entity count since one is balanced off of the other.