Lift's approach to scalability is within a single machine. Scaling across machines is a larger, tougher topic. The short answer there is: Scala and Lift don't do anything to either help or hinder horizontal scaling.
As far as actors within a single machine, Lift achieves better scalability because a single instance can handle more concurrent requests than most other servers. To explain, I first have to point out the flaws in the classic thread-per-request handling model. Bear with me, this is going to require some explanation.
A typical framework uses a thread to service a page request. When the client connects, the framework assigns a thread out of a pool. That thread then does three things: it reads the request from a socket; it does some computation (potentially involving I/O to the database); and it sends a response out on the socket. At pretty much every step, the thread will end up blocking for some time. When reading the request, it can block while waiting for the network. When doing the computation, it can block on disk or network I/O. It can also block while waiting for the database. Finally, while sending the response, it can block if the client receives data slowly and TCP windows get filled up. Overall, the thread might spend 30 - 90% of it's time blocked. It spends 100% of its time, however, on that one request.
A JVM can only support so many threads before it really slows down. Thread scheduling, contention for shared-memory entities (like connection pools and monitors), and native OS limits all impose restrictions on how many threads a JVM can create.
Well, if the JVM is limited in its maximum number of threads, and the number of threads determines how many concurrent requests a server can handle, then the number of concurrent requests will be determined by the number of threads.
(There are other issues that can impose lower limits---GC thrashing, for example. Threads are a fundamental limiting factor, but not the only one!)
Lift decouples thread from requests. In Lift, a request does not tie up a thread. Rather, a thread does an action (like reading the request), then sends a message to an actor. Actors are an important part of the story, because they are scheduled via "lightweight" threads. A pool of threads gets used to process messages within actors. It's important to avoid blocking operations inside of actors, so these threads get returned to the pool rapidly. (Note that this pool isn't visible to the application, it's part of Scala's support for actors.) A request that's currently blocked on database or disk I/O, for example, doesn't keep a request-handling thread occupied. The request handling thread is available, almost immediately, to receive more connections.
This method for decoupling requests from threads allows a Lift server to have many more concurrent requests than a thread-per-request server. (I'd also like to point out that the Grizzly library supports a similar approach without actors.) More concurrent requests means that a single Lift server can support more users than a regular JEE server.