A brick wall filter is a hypothetical concept that can't be practically implemented. Also, attempting to approximate a brick wall filter often ends up giving you significant phase distortion and ringing, which would have a very detrimental effect on recovering the FM signal. The dominant harmonic introduced by clipping is 3rd harmonic, so the frequency of harmonics definitely isn't too high to cause trouble. You need to find a trade-off between how close you can filter to the maximum signal frequency vs sample bit depth. I don't know what the "right" numbers are, but it's definitely not a simple problem.