Yeah… what Steve28 said. Just to add to it a little bit: Zwave switches are not like regular switches. An old switch is a physical device that just opens or closes the circuit. You physically connecting wires when you flip the switch.
But a z-wave switch is an electronic device. When you press the physical button on the switch you aren’t physically connecting wires, instead you’d sending a signal to the little computer inside the switch telling it to connect the wires. Because this is an electronic device on it’s own, it needs a full circuit of power (line in, neutral out) in order to work.
Now, because nothing is every really simple in the Z-wave world… there is an exception to the rule. There are some Z-wave switch (such as the GE/Jasco dimmer 45612) which do NOT need a neutral. Instead of using the neutral the 45612 “leaks” a trickle of power through the load line to the light and out through the light’s neutral line. This trickle of power is small enough that it doesn’t typically light up the lights at all.
But, this switch is rated only for use with incandescent lights. CFLs don’t play nice with dimmer usually anyway, plus that little trickle of power may not be good for the electronics in CFL bulbs. LED typically use a LOT less power than incandescents so it’s possible that the little trickle of power that the switch is letting through might light them up.
EDIT to add: Also, forgot to mention that the 45612 can be use as a master in a 3way (or more) switch setup. BUT the AUX switches WILL need neutral even though the master does not.