Even if you have both files in the same directory, source conf.sh will look for conf.sh in the current directory. For example:
SHELL$ pwd
/home/user
SHELL$ ls mydir/
script.sh conf.sh
SHELL$ mydir/script.sh
script.sh: line 1: conf.sh: No such file or directory
In this case, the script will look for 'conf.sh' in the current (home) directory, not under mydir.
To avoid this and always look for the config file in the same directory where the script is, a common practice is to use:
source "$(dirname $0)/conf.sh"
This will extract the path from the command you used to invoke the script and append the config file name to it; in the example above, this will become source "mydir/conf.sh" which should work fine.
P.S. If you use source there's no need to export any variables.