Although I certainly can enjoy the Conan RPG without CRs, I still wish they had been included.
I enjoy using CRs in my D&D campaigns, and appreciate the time and care taken in providing a CR for each encounter. While there are times the relative challenge rating did not mesh well in some instances, I have found the CR system in D&D 3.0 and 3.5 to be an invaluable tool in creating adventures. In fact, I can follow the encounter creation rules in the Dungeon Master's Guide to the letter and craft a well balanced, yet challenging adventure for my players with ease. All-in-all, CRs are a good thing.
I am in agreement that a Conan adventure need not play in the same fashion as a D&D dungeon crawl. Still, CRs wil be sorely missed. As most RPGs lack reliable challenge rating systems, I am used to doing without. I can gauge relative strengths well enough on my own, but still appreciate useful information compiled by game designers and play testers.