The limbs are structural beams. The outer fibers carry the load, one side in compression and the other in tension. The core carries the the shear, or essentially keeps the two outer surfaces appart. Putting holes through the face of the limb is essentially narrowing the limb by the diameter of the hole at that point. Structurally, it's the same as cutting two semi circles in the outside edges. In short, I think it would be a bad idea as you'll have weak spots in the limb at each hole. You could drill through the core very carefully from one side to the other, preserving the faces and possibly get some benefit theoretically. But that would be a lot of work for minimal gain.
On a selfbow, working around the knot (and any resulting hole) is possible only by leaving extra wood in the area (both in thickness and width) to make up for the loss.
Trying to save weight and going back to beam theory, you could go narrower and thicker limbs. The stiffness of the limb is dictated by (width*height^3)/12. So since stiffness is affected by the cube of the thickness, a little thicker and a lot thinner will have the same effect, assuming you haven't reached the strength limits of your material.