As long as you are certain that you are tying the loads to the same common of the power supply that is powering the modules (as opposed to tying to some other power supply by mistake), you can tie the loads to the common of the power supply. If you tied them to the common terminals of the module, they would all go back to the common side of the power supply anyway because there the Com terminals of the module are a direction connection to the power supply common coming into the module.
The way to be sure is, with the power off, check the resistance between the various Com terminals. You should find they are minimal resistance.
Also, if your loads are inductive, such as coils for a relay, don't forget to put diodes across the coils of the relays.