Mods enabled: You must have mods enabled on Microsoft Store. To do this you should read and follow Microsoft’s documentation on how to “Enable Mods” - see: Xbox Support
(avoidable) Workaround:
Give admin privileges to the following folder: “%PROGRAMFILES%\ModifiableWindowsApps\Conan Exiles”;
Open Windows start, search for the “Conan Exiles” app, right-click it and press “Run as administrator”.