The lamps have been UL listed to allow the smaller wire, and that wire will go no farther than a junction box. And the lamp is in the jurisdiction of UL's rules and the product safety laws, not NEC.
In conduit, you are running single wires called THHN (or THWN-2, or the more deluxe XHHW) unless you are a masochist. The cost between #12 and #14 is fairly minor; I have 10 colors of THHN and I don't even bother owning any #14, just do it all in #12.
If your concern is that #12 wire is stiffer, than definitely use stranded #12 THHN. The stuff is a total pleasure to work with, though it can take a knack to twisting it tightly enough to put it on receptacle screws. Just get the $3 Leviton screw-to-clamp type receptacles and switches, that solves that.
If your concern is #12 won't fit in backstabs, that is correct, but backstabs are a reliability disaster and cause a tremendous number of arcing and unreliable connection complaints, so I would use the screws or screw-to-clamp.