The magnetic field created in the black wire, as it carries current in one direction, is essentially cancelled out by the magnetic field created in the white wire, as it carries current in the opposite direction. That is an advantage of running them in the same conduit. But if they are in different conduits, and the conduits are made of a magnetic material, then the magnetic field in each of the two wires will serve as the primary of a transformer, and the conduit will serve as the secondary, and as a result current will flow in the conduit itself. That will not only be a shock hazard, but will also heat up the conduit, creating a fire hazard.