Your mods are stored in SteamLibrary - Steamapps - Workshop - Content - 123456 (6 digit folder).
Have you tried:
Unsub from mods, exit steam, remove everything from that folder and empty your bin 
, restart just in case, start steam again, start conan, try joining the server with automatically subscribe and download mods enabled to see whether they will start downloading?
EDIT: here you can find some more things to try: https://appuals.com/fix-steam-workshop-not-downloading-mods/
Especially this one: Method 3: Clearing the Download Cache
EDIT 2: Here you can see the list of mods you are subscribed to: https://www.youtube.com/watch?v=2ec0R8IbCFg