Don’t worry about the multiple neutrals for each of the lights. Electrically they are all the same. It just would have helped if the neutral (with the incoming power line basically) had been fed to your wall switch box. No worries though, that is why the in-wall switch was designed.
The in-wall switch is located up in the lighting gang box that has the incoming power. So you need to determine where that romex is that would be coming from your breaker panel feeding those lights. It will be in one of those several lights. Take them down one at a time till you find it. Do you have a voltage detector or meter to test with?
This in-wall switch is NOT going to be a dimmer but On-Off switch which is the way your current wall switch is operating. I would suggest the Enerwave ZWN-RSM1S, Monoprice Z-Wave In-Wall On/Off Module, or Aeon Labs DSC26103
Here is an example of a standard GE Smart Fan Control alongside the Aeon in-wall style light switch that I mounted in my ceiling fan canopy.
https://community.smartthings.com/uploads/short-url/yUbYAG0W6iQGp4fwJkDjuFCxXUG.jpg
