I was thinking about conservation of angular momentum using the vector definitions of torque and angular momentum: ##\boldsymbol{\tau} = \mathbf{r} \times \mathbf{F}## and ##\mathbf{L} =m \mathbf{r} \times \mathbf{v}##. There's the basic law ##\boldsymbol{\tau}_{net} = d \mathbf{L}/dt##. The latter implies that if a component of the torque vector is zero, then the same component of angular momentum is conserved.
The net force is not necessarily tilted downward at all times. I believe the particle will eventually return to its original height (which requires a net upward force at some times). The important fact is that both the force of gravity and the normal force lie in a vertical plane passing through the axis of the cone (call it the z-axis). So, the net force lies in this plane. If you pick any point on the z-axis as origin for calculating the net torque on the particle, you should be able to deduce whether or not there is a component of angular momentum that is conserved. You can pick the origin at the apex of the cone if you want, but any other point on the z-axis would also be fine.