I disagree. If you design the record selection formula correctly, the results of the parameter selection will appear in the where clause of the SQL query. The parameter selection is made before the SQL statement is generated, so if you selected "TestA" from the parameter list and you had a record selection formula of:
{?test} = {table.test}
...then the where clause would include a where clause like:
WHERE
Table.`Test` = 'TestA'
You might want to check out SynapseVampire's FAQ767-3825 on optimizing SQL pass-through.
-LB