Thunderbird's filters can only work on what is in the Inbox, so it has to download the messages before any further action can be taken. If you want to stop the server from offering selected messages to your email client, you need to look for filtering capabilities on the server itself. In the gmail website, look for "Filters". I'd suggest you move messages that you don't want to appear in Thunderbird to a separate folder which Thunderbird isn't subscribed to or sychronized with.