Allow more than 500 Tasks in a Project
Project is not allowing a project to include more than 500 project tasks. There does not seem to be published documentation of a limit to the number of tasks.
You are correct that the limit is 500. You can find all the limits for Project for the web at the bottom of this article - https://docs.microsoft.com/en-us/office365/servicedescriptions/project-online-service-description/project-online-service-description