Well, I know that the system base (D20) can work even on very high levels; for instance I played a modified / houseruled D&D on epic levels (up to level 30). The houserules were mainly nerfed spells and reduced magic items, btw. The battles were still very tough, and most opponents were "just" Orcs with class levels. (Many class levels. With PrCs like Weapon Master. Up to ~100 damage per hit.)
Basically, Conan is more manageable at high levels than D&D because all your combat values fit on one sheet, and don't change every other round as is usually the case in D&D with all its buff spells and items.
However, the main problem I see on high levels in Conan is the low defense, which basically prevents the GM from throwing like-levelled enemies at the PCs (unless he wants to see them dead).