I own all three types: bolted, set, and neck thru, and find the differences in sustain to be fairly minimal when amplified. Acoustically, the neck thru has the most sustain, and it's obvious. As strumminsix mentioned, even a bolted neck will sustain well if it is a quality instrument set up correctly. I had a bolt on Ernie Ball / Music Man Steve Morse model that had spectacular sustain.
The neck joint can rob a guitar of sustain, and since a neck thru has no neck joint, it is clearly the best from that respect in theory, but doesn't make a huge difference as long as adhere to the above principles. A tremolo is more likely to hurt your sustain (vs. fixed bridge) than the neck design.
That said, I do think that neck thrus I have played give a SLIGHTLY purer singing tone like I hear from Jerry.
Intonation is completely independent of neck type, having more to do with the relationship between string length and height, as well as saddle and fret placement.
I have owned several Alembics, and currently have a Cripe Bolt replica; all neck thru. What I reach for most on stage is are my set necks: Les Paul, PRS, and Robben Ford.
Bottom line: if you get a high quality guitar, it won't make a huge difference. Feel free to focus on other aspects.
"His job is too shed light, not to master"