LabWindows CVI is an ANSI C compiler. Conio.h is not part of ANSI C so it isn't provided with CVI. You'll need to use IO functions in stdio.h (etc.) instead of those in conio.h.
Conio.h is provided with MSVC++. Specifying MSVC++ as "default compiler compatibility mode" doesn't mean that you can use VC++ code within CVI. It means that your DLLs will support VC++ calling conventions.