Pulling the clutch has to make downshfting a little easier on the transmission and clutch components. Is it enough to matter? I'll defer to Mr. Semics since he is one of, if not the, most respected names in MX training.
Personally, I'm usually on the brakes when I'm downshifting. If I'm on the brakes, I also have the clutch pulled. After stalling a few 4 strokes without auto-compression releases I got into the habit of using the clutch every time I hit the brakes.