you'll probably have better luck doing this manually..
open terminal and log in as root (root, not sudo for how we're going to do this.)
cd ~
now you are in root's home directory
rm .config/autostart/Conky.desktop
that just removed the autostart file so it won't start on session login.
now if you want you can go login as root and conky shouldn't be there.

p.s. i can't understand why you would login to a root desktop... but i am sure you understand the dangers of doing so.