I am experiencing this exact issue as mentioned here [url=http://blogs.msdn.com/b/sql_pfe_blog/archive/2009/06/17/possible-performance-implications-when-using-string-parameters-in-reporting-services.aspx][/url]. I do have a work around. I was wondering is there a setting on the report server or some type of setting on the report server so that we can avoid this conversion?
I've always considered the implementation of multi-value parameters in SSRS to be sub-optimal for this very reason. The most effective workaround, in my view, is to use a stored procedure that accepts the comma-delimited string that SSRS creates from the multi-value parameter and calls a string-splitter function like this one:http://www.sqlservercentral.com/articles/Tally+Table/72993/
to split the values into a rowset that you can use with an IN condition in the WHERE clause. This way, you can convert the individual parameter values to the same datatype as the column on the other side of the IN, making a SARGable condition that can make use of an appropriate index, if one exists.