It's not so much that conservative forces do anything to conserve energy. It would be more accurate to say that a conservative force does nothing to dissipate energy. If a force field is conservative, the change in energy in moving from point A to point B is independent of the path taken. Potential energy is essentially a measure of this hypothetical change in moving from point A to point B. If the force was not conservative and the energy change was dependent on the path, then there would be no single-valued potential associated with moving from A to B since moving along different paths produces different answers, so the concept of potential energy doesn't really make sense anymore.
This is all intimately related to the scalar potential, which is a concept that pops up in many fields in physics and is quite powerful and interesting.