It doesn't look like anyone answered! I had this same problem.
If Conky starts before X, then there is no display for conky to use. Calling conky from /opt/bootlocal.sh causes this error because .xsession hasn't run yet, so there is no display.
It is possible to call conky from the end of .xsession file. This what I do, but I would prefer another solution.
I have tried deferring conky startup from within bootlocal.sh:
#in bootlocal:
deferconky() {
sleep 10
conky &
}
[ -f /usr/local/bin/conky ] && deferconky &
but conky still didn't notice the active display. I remain with .xsession for now.