Yes, we are aware of this issue. Unfortunately currently our implementation does not allow another way to do that - we have to return all the records and convert the to an IQueryable interface, because our internal data structures rely on that. We plan to make an optimization in the future that will fix this problem but we are not sure when this optimization will be available. We are sorry for the inconvenience.
In many places in our UserManager class we have calls like this:
var user = prov.GetUsers().Where(u => u.UserName == username).FirstOrDefault();
The regular Sitefinity provider doesn't do this, of course. The thing is the manager was written having in mind that only the regulard provider will be used. We then added the ASP.NET membership provider, which is not suited very well for this scenario so we had to improvise.
We will have to revamp the module entirely in order to make any optimizations.