The Baltimore Sun goes through all the complications of Fox giving Conan a show:

“The problem is that Fox would have to get clearance for that from the affiliates. So emotionally, it sounds great right now for people to say Conan’s going to be on Fox in September. But financially, I don’t know how it would work. I’m not sure anyone has talked to the affiliates about clearances yet.”

Other affiliates in other markets are locked into long-term syndication agreements for sitcoms such as “Friends” and “Seinfeld” in those hours – including after 11:30.

The Denver Post says this:

Some Fox affiliates aren’t keen on the idea of having O’Brien on their schedules. Many see the prospect as yet another Fox loser in late night; others fear a huge loss from having to buy out the syndication contracts for late-night reruns of shows such as “Seinfeld” and “The Office” on Fox’s TV stations. Its possible Conan could air in some Fox markets and not in others.

And this from Broadcasting & Cable:

For the Fox owned and affiliated stations, picking up O’Brien would appear to cause far more pain than gain. The performance of the stations in the Top 10 markets at 11:30 p.m. is largely equivalent to NBC’s Tonight Show ratings in the same hour. But the stations keep far more ad inventory in that hour now than they would if they were forced to give it up to Fox. Every half-hour syndicated show offers stations as much as six minutes of advertising inventory to sell, while a half-hour of network inventory typically offers only about a minute.