That's true and is permitted by the NEC:
300.11(B)(2) Where the raceway contains power supply conductors for electrically controlled equipment and is used to support Class 2 circuit conductors or cables that are solely for the purpose of connection to the equipment control circuits
My question was related to a rule I remember being in the UMC calling for protection in a raceway.
Personally, I don't like seeing the thermostat wires installed as you describe, and as the code will permit, because it can be cut easily and may be the cause of a loss of life when someone is relying on AC or Heat to stay alive. That's one of the reasons why those circuit cannot be put into the same raceway as described in the reference in the FPN to 300.3(C)(1) .....