I've added vias to pads mainly on power components that needed to be attached to a copper plane for heat sinking purposes. I didn't use any thermal reliefs because that would've reduced heat transfer. I made the via connect directly to the pad and the copper plane to maximize the heat sinking effect. I have done this successfully on components that had a large pad underneath the chip without filling and plating over the via holes. I make sure to follow the component manufacturer's recommendations for placement and size of the vias.
I've seen a couple of designs where the guy that did the layout was a little overzealous with the number and size of the vias he added to the ground slug thinking that this help keep the part cool(er), but what ended up happening is that the solder paste gets wicked into the vias causing a poor solder joint at the ground slug. We had to rework those boards by hand by heating up the vias on the back side of the chip and adding solder. Of course, filling and plating over the vias would have eliminated the possibility of this happening.