No. You should use comma to separate items in a list, rather than using it to separate the list and the last part of the sentence.
You may find this paper useful.
Commas in the wrong places can break a sentence into illogical pieces,
or confuse readers with unnecessary and unexpected pauses.
According to a Wikipedia article, commas are normally used
in lists (A, B and C)
to separate clauses (I was drunk, but I still managed to walk home.)
after certain adverbs (Therefore, a comma would be appropriate in this sentence.)
to enclose parenthetical words and phrases (Archy, a teenager, is developing an iPhone application that can change the world.)
between adjectives (He is a tall, distinguished man.)
before quotes (Mr. Kershner says, "That's what I'm talking about.")
to separate parts of geographical references (The plane landed in Kampala, Uganda.)
in dates (December 19, 1941)
in names (John Smith, Ph.D.)
to indicate that a word has been omitted (The cat was white; the dog, brown. [Here the comma replaces was])
before, after, or around a noun or pronoun used independently in speaking to some person, place or thing (I hope, Kenny, that you will read this.)
A comma can also be used as an Oxford Comma (the second comma in "A, B, and C")
Do you support the omission of commas around 'in fact' in the following three examples?
This is somewhat of an opinion question, obviously, so the strict answer to the question in your title is, "No, commas are not always needed." Where they are needed is somewhat of a judgment call based on the intended meaning and the general flow of the sentence.
Part of the issue is that "in fact" can be moved all over the place in a sentence:
Mike said that he did in fact support the new policy.
Mike said that he, in fact, did support the new policy.
Mike said that he did support the new policy, in fact.
The missing commas in (1) are understandable and not completely necessary. The commas in (2) are more necessary but I've seen people leave them out. (3)'s usage is a bit ambiguous (it could be modifying "Mike said" instead of "he did support") but the comma is very much necessary.
I was surprised and appalled by her actions when she did in fact curse my grandmother.
"In fact" is less needed here and will probably receive commas more frequently than your first example, simply because the inclusion of "in fact" doesn't do anything special on its own. It is more obviously a parenthetical note than the usage from your first example.
There isn't really a hard rule, here.
I will in fact question her about the theft.
This is probably the toughest of your three examples to answer and I suspect this will result in the most differing opinions. My opinion is that it sounds better with the commas:
I will, in fact, question her about the theft.
If I were to say or write this without commas I would probably end up removing "in fact" completely:
I will question her about the theft.
Best Answer
A syntactic parsing of the sentences could help to show what is going on. The word "that" in your examples is a marker of clausal subordination. That is, the word "that" has no semantic meaning.
This is a way to parse your examples:
1.) He said [that, after considerable contemplation, he would retire].
2.) She said [that, in 1969, she and her husband went to Woodstock].
3.) Please be advised [that, on this day in 1954, a resolution was achieved].
Notice how it so happens that in your 3 examples, that the word "that" is necessary to prevent ambiguity or mis-parsing by the reader. Look at what happens when the word "that" is removed:
1.b) He said, after considerable contemplation, he would retire.
2.b) She said, in 1969, she and her husband went to Woodstock.
3.b) Please be advised, on this day in 1954, a resolution was achieved.
Notice how the meanings have now changed: the expression delimited by the commas are now most likely being interpreted as being part of the matrix clause. That is, for #1.b, after he had contemplated for some time, he then said something about retiring. For #2.b, in was in 1969 when she said something. For #3.c, today is a day in 1954 (while the original #3 was saying that 1954 was way in the past, e.g. December 7, 1954 while today is December 7, 2014).
Notice that the way the comma pairs had been inserted in your three original examples is one clear way of making sure the sentences are parsed and interpreted correctly. (If one or other of the commas is removed, then the sentence might be misinterpreted.)
But some writers, especially for fiction prose, might do their comma punctuation differently. For instance, it is possible that one of the commas might be omitted (for a lighter punctuation style) in similar sentences. But care needs to be used to make sure that the word "that" doesn't then accidentally become a word with meaning (instead of a mere marker), and to make sure that the result doesn't create a sentence with a different meaning from the original.
Summary: In your examples, the word "that" is a marker of clausal subordination. In your examples, they are markers of the beginning of a declarative content clause. The pairs of commas help the reader to parse the expressions within the subordinate declarative content clauses correctly.