I am not entirely sure in the specific case of Conan Exiles.
However, the actual problem is physical game shops (which are slowly vanishing as more games go virtual). Shops do not want to sell adult media because it gives them a bad reputation against the family-friendly environment they want to present. They’ll often refuse to carry any game/movies/whatever with adult ratings.
This causes the game companies to lose potential retailers, and that means less sales, and that means less money. So the game companies will simply not have those kinds of games as they aren’t worth it.
Companies have regional branches who would decide what to sell, so while Sony Group Corporation itself may not have any rules against nudity, the Sony America branch might make regional rulings because they think a lower-rated game will be more profitable.
This is all determined by the businesses and shareholders deciding how they want to operate. There are no laws in the USA regarding what is allowed in video games. When people complained to the US Congress that violent video games were being unwittingly sold to children, the ESRB (a private organization - not a governmental entity) was established to assign ratings to games so that parents would be kept informed (in theory), and most businesses would outright refuse to sell games that did not receive an ESRB rating. However, getting a game rated is voluntary and whether a business chooses to sell unrated games is also voluntary.
