If Conky isn't starting along with your system, Conky Manager may have edited the desktop entry you created without providing a valuable alternative startup. It would ususally do this in "~/.conky/conky-startup.sh".
You can solve this by starting Conky Manager, selecting the themes you want to load, then closing it. As soon as you close the program, it edits the startup script to include the themes you wanted it to start with.