How can I install Z-Wave switches in these different situations?
Light 1. Yes, you will pigtail and put the 3 neutral wires together in 1 wire nut.

Light 2. Correct, it will not work. You will need to add the control at the junction box with the light or receptacle.

Light 3. I would put a pigtail in with the black wires, and put under the top screw. Add the pigtail and put the 3 neutrals together. The red wire to the bottom screw. Are the wires in conduit, or do they come from a cable? I would expect that the red is a 2nd hot wire, but that would lead one to expect a black wire to be somewhere close.

Light 4. Pigtail into neutrals for the switch. Another pigtail with the 2 upper black. And put the single black back in the lower terminal.

2 wires under 1 screw is a no-no, and using a screw and a push-in is just poor form.