(We usually call the insert devices “micros” or “in wall micros” in the forum )
At the present time, I’m not aware of any Z wave switches for the EU which don’t require a neutral. But quite a few of the micros do not, although you may need to buy an additional device called a bypass. Because so many new homes do not have a neutral at the switchbox, the micros are particularly popular. You can either use the ones that don’t need a neutral or you can position the micro at a different place on the circuit branch, typically inside the ceiling Rose, where there is a neutral.
But other than the neutral issue, The micros have exactly the same kind of engineering and features as the switches, they are just giving you only the internal part so that you can fit it into places where you might not fit a full switch. So it’s just a matter of looking feature by feature to see which has what you want.
Have you had a chance to look at the FAQ for UK lighting? It would probably answer quite a few of your questions. (This is a clickable link.) 