Close, but not quite. From the point of the two GFCIs onward, the neutrals must be kept separate.
Consider: if you had a device drawing power on the black hot circuit from a load farther down the line, and nothing on the red, which GFCI would its neutral return current flow through? Since they're just connected in parallel in your diagram, it would flow through both, and then trip both, since current out is not equal to current in within each GFCI. If you separate the neutrals, you can make sure all the current from the black hot flows back through its proper GFCI, and none crosses over to the other one.
Also note that this scheme will fail if you use any 240V devices on this circuit. The only way to do a mixed 120/240V circuit is with a 2-pole GFCI breaker.
That drawing cannot possibly work. Right off the bat, you are paralleling, providing two paths for neutral to go. That itself is a code violation, nevermind the GFCIs. It won't work because as Nate Strickland describes, neutral won't know which path to take.
GFCIs involve looping all the wires of a circuit through a current transformer, where each wire creates a magnetic field and all the magnetic fields should cancel each other out. Therefore, all the wires of the circuit have to go through ONE current transformer. Any scheme where a GFCI doesn't handle all the wires, can't work by definition.
I gather you have an existing MWBC that stops at several junction boxes, and you need to GFCI protect them all.
Solution: A 2-pole GFCI
So only a 2-pole GFCI will work. I've never found one offered as a stand-alone GFCI (deadfront). Mainly they seem to appear as 2-pole GFCI+circuit breaker combo's. And those always take 2 full spaces. And they must be listed or classified for your panel, so unless you have a modern GE, Eaton, Sq.D. or Siemens panel (or Challenger which take BR), you could be in trouble. Check Eaton's CL line which fits some panels, but you could be out of luck. In that case, it's "subpanel time".
Solution: Don't use Load terminals
You're not required to use Load terminals. You certainly can install GFCI receptacles and leave the warning tape on the "Load" terminals. Just then, the downline "rest of the circuit" won't be protected. Place all the wires on "Line" (most GFCIs permit 2 wires per screw, but remember, you already need to pigtail neutral because it's a multi-wire branch circuit!)
This means downline receptacles will not be protected, and you will need separate GFCI receptacles there as well if you need protection there.