Well...I just don't know what code says about bundled cable, in conduit, inside a wall. I'm not sure if that's allowed. If it's a place that needs conduit, like along the outside surface of a wall, then you can go ahead and run cable through that, or individual wires. But the normal practice for an entirely inside a wall installation is just the cable, so I don't think I would want to do something abnormal like putting the conduit in the wall, unless there really was a good reason, and I knew code would allow that.
The downside that's possibly a safety issue that you're not thinking of is that the more layers of stuff you wrap around the wire, that is trapping more and more heat and not letting it dissipate. Cable already has a reduced current rating because the wires are wrapped tightly together (insulated) instead of with free air around them in a conduit. So wrapped in a rubber sheath(1) and inside conduit(2) and inside a wall space with insulation around it(3) are just building up layers of how much lack of air flow it will have to spread out that heat. Standard install would only have #1 and #3.