Bathroom Exhaust Fan/Light wiring
Yes, they are giving you separate neutrals so you have the flexibility to put the fan and light on different circuits if you want to.  Neutrals must be supplied from the same circuit as the hot; you can't return current from circuit 1 on the neutral from circuit 2, or it causes a number of problems and safety threats. 

In an application like yours, feel free to tie the neutrals together using your preferred wiring method.  

Once that and the grounds are hooked up, you have 2 from the ceiling and 2 left on the fan.  One wire is for the fan, the other for the light.  Generally blue is for the light. I have no idea if your house was wired black for the light or red for the light, but whatever.  Hook it up one way e.g.  black-black blue-red, and if that doesn't do what  you want, then hook it up the other way e.g. black-red blue-black. 

Make sure not to put a fan on a dimmer by mistake!