They are already working on this. The last update about it was yesterday in their Q & A. I time stamped it in the write up I wrote, which can be found here.
Further, you can already do what you desire if you know how to use Windows File Explorer. While you currently have to manually download every mod, you can create multiple sets of modlists very easily.
Just navigate to steamapps\common\Conan Exiles\ConanSandbox\Mods and locate your modlist.txt and create a copy. Now, anything not named EXACTLY modlist.txt will not be used. So you could have a modlist_single_player.txt, modlist_cool_server.txt, modlist_friends_server.txt, etc. Then, whatever game you are going to join, just change the name of the modlist that you want to use to modlist.txt and the game will use that one.
Then, when you start the game, you don’t have to even click on the mod load order in-game at all, it’s all driven by the modlist.txt No restarting of the game is required.
Further, somebody made a 3rd party utility that makes this process easier too, which utilizes collections on steam. That can be found here.