All the neutrals go together.
You're using an inductive dimmer on the fan which quite frequently causes fans to buzz. It's a function of how tightly the fan motor's windings are wound, not something to do with the switch as ALL X10 dimmers chop the A/C wave form in the same manner. Some fans buzz, other fans don't and it very difficult to know in advance which will and which won't. Generally speaking, the more expensive the fan the less likely it is that it will buzz but there's no guarentee.
The loss of control is probably due to the fan generating powerline noise. The noise produced would be greatest when the fan is "dimmed" which seems to be the situation you have. An in-line noise filter wired at the fan would clear up that problem.
The way to get rid of the buzz (and likely the noise) is to switch to a non-dimmer switch. The X10Pro switch would be the XPS3 or the PCS switch would be the SS1F/S-5A. In either case you'll have on/off control of the fan but no remote speed control.
If you're using other X10Pro switches in your house then stick with them. If this is your first X10 switch then I'd strongly recommend looking at the PCS switches. I have a comparison chart showing the features of the PCS and X10Pro switches at
[Link: ir-x10.how.to] You'll notice that all of the inductive dimming switches have the potential for causes fan motor buzzing.
The neutral is the third wire in your electrical service. Combinining either hot line with the neutral produces 110v. In this case switch uses the nuetral so that it can have power for it's internal circutry at any time without having to rely on passing power through the load.