Man it sounds like you're getting it from all directions!
You can do any kind of wiring scheme you want as long as it's code.
Bundled wire... just makes it easier in many cases. In just about every installation, I find that it's easier to use the 'bundled' version of wiring for the entire run, from the mains, to the remote cutoff, then from there through large conduit to the tub.
But, running the bundled stuff through the conduit can be a pain if it's like small or flex style conduit. So, what I do is just go with a little larger conduit diameter from the box to the tub. Also the consideration of how far from the cutoff to your spa is important, and if you can run the wire through the conduit before actually mounting it anyplace. (That's what I always try to do, run the wire through the conduit, then mount and glue, etc).
Do what works for you the easiest. Oh yeah, you said 3 wires from the gfci to the tub? Always run 4, regardless if you need a neutral or not. Some day in the future someone will thank you for that.
