We investigate the capabilities and scalability of Large Language Models (LLMs) in optimization modeling, a domain requiring structured reasoning and precise formulation. To this end, we introduce OPT-ENGINE, an extensible benchmark framework with quantifiable and controllable complexity. OPT-ENGINE spans ten canonical Operations Research problems, systematically scaling from Linear Programming to Mixed-Integer Programming, providing a structured environment to probe the limits of automated problem formulation and solving. Utilizing OPT-Engine, we address three pivotal research questions. First, we examine whether Pure-Text Reasoning (PTR) via classical Chain-of-Thought can efficiently tackle optimization tasks, finding that PTR suffers from a critical robustness gap as task complexity increases. Second, we examine whether integrating external computational tools can mitigate PTR's arithmetic weaknesses and improve performance. Our results indicate that while such tools help with local calculations, they still fail to adhere to global optimization constraints. Finally, we pinpoint that for the current SOTA paradigm, Solver-integrated Reasoning (SIR), the automated formulation of constraints represents the primary bottleneck. These findings clarify the limitations of current paradigms and provide a structured roadmap for developing next-generation LLMs for optimization modeling. We release our code and data to facilitate future research (https://github.com/Cardinal-Operations/OPTEngine).