I agree, they are messing up bad. And it's unfair to judge Conan's rating this early in the show. When Leno started he was getting his ass kicked by Letterman, but eventually he found his groove and brought in an audience.
Also, despite how low Conan's ratings were, he always won the 28-49 demographic, which is the most valuable.
That said, I wouldn't mind if they found a solution to keep both on the air, same network or not.