Hi Dan,
AFAIK, you're right. First you prepare a list of files and then download them one after another.
Take a look at raw FTP commands at
http://www.jtpfxp.net/rawcmd.htm. As you can see, neither RETR nor STOR support file masks. So even if you use raw commands through WinINet FtpCommand or through sockets, it won't help.