I think I finally understood what had been confusing me before. I posted about this in the earlier thread.
In the example with three noncollinear black holes, there is a low level of symmetry. There are two ways you could try to deal with this.
One way is to take a two-dimensional slice or projection. If you can do this in such a way that lightlike geodesics still look like lightlike geodesics, then you're all set, because a two-dimensional manifold is always conformally flat. But can you do the slice so that lightlike geodesics look lightlike? I don't know. Even if you can manage to do this, there is no guarantee that the 2-d version is sufficiently representative of the behavior of the whole spacetime to make it useful.
Another way, as suggested by Ben Niehoff, is to do a Penrose diagram in more than two dimensions. The problem here is that then you have a 3- or 4-dimensional manifold, and manifolds in that many dimensions may not be conformally flat. The original, 3+1-dimensional spacetime certainly isn't conformally flat in this example.