Multiple circuits in the same conduit to outbuildings
Feeding three different uses with three different circuits to the same building is precisely what is not allowed. The fact that they go to different places does help.  The issue is whether that gazebo circuit is allowed to stop at the shed on the way to the gazebo, since now you have a segment with two redundant circuits. 

Actually, you can have more than one circuit feeding an outbuilding if it has different purposes or operating restrictions; or it has different voltages; and several other exceptions described in NEC 225.30.  You are welcome to contrive these. 


For instance, the pool pump can have a switch in your house to turn it on and off.  Now, that is a different characteristic as per NEC 225.30D. 
Gazebo lighting could also have a switch in your house, or an "auto-turn-on-after-dark" switch in your house leaving on-demand control out at the gazebo. - another different characteristic. 
You could run a multi-wire branch circuit, which is a method for getting 2 circuits for the price of one (well one additional wire).  Under 225.30, a multi-wire branch circuit counts as one circuit.  (however your inspector may say it counts as a 120V circuit, so it'll be your only one if so.)  For instance you could have one leg feeding the shed, and the other the gazebo.  In this case be careful about GFCI protection - putting GFCI on a MWBC is hard. Easier to put GFCI protection on each leg of the MWBC after they split. 
The pool pump (or shed) could have a different voltage, i.e. 240V because of specialized equipment it may have.  A pure-240V circuit (no neutral) is different than a MWBC.