If an API really doesn't have any way to filter by year, then yes, of course you will have to pull down all of the releases and filter them after the fact.
If you think this is a burden on your code and/or their server, you should file a feature request to add the filtering.
However, you should make sure first that they really don't provide such a thing. Most REST APIs separate "fetch" and "search". For example, http://api.example.com/artists/12345/releases
may not have any way to filter it, but http://api.example.com/search?type=releases&artist=12345&year=2011
may exist.
Without looking into all of the APIs in detail, a quick check of Discogs' "Run a search query" docs shows that you can include a year
criterion in the search (although it looks like maybe you can't actually search by artist ID, just by artist name?).