Aegis prevents you from messing with the files Nokia thinks are important, so when you try to replace the xorg core package (the link in the second paragraph above) it will see the files changed and your phone won't boot.
That's not Conky directly causing the problem, but it's a requirement for making it refresh the screen without flickering. Someone *could* implement a different way of double buffering in Conky but I refuse to do so since it's not easy for me and I want to encourage Nokia to fix their own mistakes. Anyways, that second link is the only dangerous one, I buried it in a wall of text and I doubt dpkg is going to let you install that without open mode. So it's probably not even dangerous, but just to be safe, never try to install it until you flash the kernel and are sure you're in open mode after a reboot.