They can (and do) in the broadway version — the penultimate scene has them arrive in the window at the Darling residence for a rousing chorus of "I will grow up." Since the only way to and from Neverland is flight, it would follow that they were able to fly.
For that matter, they are fully capable in Hook as well, provided that they obtain the magical dust. Recall the finding of marbles in one of the final scenes — fairy dust was included in the bag which lead to a rather elderly lost "boy" taking flight.
My guess is that it is a supply issue. Tinkerbell and her folk are simply unable to provide sufficient dust to lift the entire group off of the ground continuously, so the material is rationed. Peter's special relationship with Tinkerbell specifically likely keeps him in constant supply, but the others do not have this boon.