Many games use their own Launchers (No Man’s Sky, CIV6, BG3, Stellaris, etc…). In the case of the Conan Exiles one, it does definitely launch the game faster, but should you want to start the game like you did before, and as with most other games with their own launchers, just drop a shortcut to the exe on your desktop. It will launch slower (mine takes forever) but it does launch.
“DRIVE-LETTER:\Steam\steamapps\common\Conan Exiles\ConanSandbox\Binaries\Win64\ConanSandbox.exe”
You can still update mods via Steam. That has not changed.