Yes, if we filter on LOAD instead of SQL, all records are retrieved from the data source and filtered after that. Hence it is slower. By using filtering on LOAD, we're gaining clarity and flexibility of the script (at least for me), but loosing load speed. So, it depends on priorities.
If the number of rows is large, and we need only a small fraction of it, and reload time is a priority, it is better to filter on the SQL SELECT rather than on LOAD.
Million rows take seconds to load, so the delay is insignificant even if you need just a few records. When there are hundreds of millions, and we need a small portion, then filtering on SQL SELECT makes noticeable difference.
Thanks for pointing it out - it may be essential when choosing how to filter.