You're effectively asking: "should queries be one string of text, instead of a whole sequence of API calls". (Unless I've misunderstood you badly, in which case, I apologize.)
The answer is "you've never been 400ms away from your database engine, have you"?
Yes, the architecture of SQL is the way it is for a reason. You young whippersnappers (:-) have never run a database engine with an API interface across even a LAN, much less a WAN, so you forget both halves of the latency term of the equation, much less the data reduction of having *all* the intermediate work happen inside the server.