We don’t use shape files for GeoCoding, but use dbf, index files (idx/ids) and some txt files. Here is a screenshot of the full version’s data folder, please have a look. The data is optimized and indexed so it provides a good performance. We are using TIGER data for all US streets and that’s why you see the corresponding file (streets.dbf) is pretty large.
So instead of using files you want to use SQL Database for Geocoding? We don’t have plans for it now and if you want to geocode with your own data in Sql Server, you can write a custom plugin to support it. Let us know more if you need any help.