Switch – How to use a Z-wave switch as a 3-way with no neutral

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.

Practically speaking, this arrangement should work without an issue, as everything is on the same circuit and a smart-switch isn't going to draw enough current to significantly heat a metal box by induction. However, there are some very sticky Code-compliance issues involved with funky neutral routing -- the 300.3/300.20 mess is not at all clear, and if you have metal boxes, what you describe is technically a Code violation unless you modify the box to put a slot between the switch-loop cable and the incoming-power cable.

A plastic box, though, is immune to these sorts of issues...but the neutral not being in the same cable as the hot could still be seen as a 300.3 type of issue by the AHJ. So, you're on the right track, but double-check with your local electrical inspectors to make sure that they won't ding you on this!

Of course, running a 12/4 instead of the 12/3 for the switch loop lets you run a neutral with the loop -- simply connect the switch loop's neutral to the smart switch, and then do not connect the incoming-power neutral to the switch loop's neutral in the loop-end box, or else you'll definitely be violating 300.3(B)/310.10(H) due to the inadvertently looped/paralleled neutral!

And while you're at it with the walls open -- run a 12/4 for the other switch loop -- the NEC has a requirement for the neutral to be present now, even if you aren't putting in a "smart switch" straight away. (Just wirenut it off at the unused end if you want to keep the dumb switch there)