Are dedicated neutrals required in conduit?
Yeah, that's fine.  

However you are going to lose your mind if you don't color-code.  Get your lengths, then phone around to electrical supply houses for one that'll give you better price-per-foot wire than the atrocious big box prices.  Or just buy several colors of tape to mark wire ends. I would go


Neutral: white
Always-hot:  black
switched hot to fan: red
messenger group 1: yellow (both messengers can be the same color, no need to distinguish them)
messenger group 2: orange
switched hot back to light 1: blue
switched hot to light 2: red


Or any other colors, only rule is hots can't be white, gray or green.