Yes, neutrinos should obey Fermi-Dirac statistics and yes, the Pauli Exclusion Principle should operate for neutrinos.
But let's examine how dense the neutrino population has to be for this to be important.
The Fermi momentum is given by $$ p_F = \left( \frac{3}{8\pi}\right) h n_{\nu}^{1/3} $$ where $n_{\nu}$ is the neutrino number density.
In order to be degenerate (and hence strongly affected by the PEP), then the following criterion can be used $$ \frac{E_{F}}{kT} \gg 1,$$ where $E_{F}$ is the kinetic energy associated with particles with the Fermi momentum.
Neutrinos have very small rest masses and so would usually be considered relativistic, so we have $$\frac{p_F c}{kT} \gg 1$$ which leads to $$ n_{\nu} > \frac{8\pi}{3}\left(\frac{kT}{hc}\right)^3 = 2.8 \times 10^{6} T^3$$ in units of m$^{-3}$.
So, if this inequality is satisfied then neutrino degeneracy starts to become important.
Some examples:
The cosmic neutrino background has $T=1.95$ K, and a predicted number density of (for each neutrino species) of around $5.65 \times 10^{7}$ m$^{-3}$. Thus $E_{F}/kT = 1.4$. Not enough for the PEP to be super-important, but it is not completely negligible either.
In the centre of a core-collapse supernova, the temperatures can reach $\sim 10^{11}$ K and the neutrino density could be as much as $10^{44}$ m$^{-3}$ per species. In this case $E_{F}/kT \sim 50-100$ and neutrino degeneracy is important.