I'd like to hear more about what they said about that--do you remember where you read that? I'm very interested in Tolkien's sub-creator theory.
BTW, speaking of Tolkien's views on the Golden Age of SF/fantasy, a friend of mine once mentioned to me that Tolkien read Weird Tales and was aware of Robert E. Howard's work, which surprised me at the time but makes sense in retrospect, and would fit with what you mention above. Have you ever heard anything about that? When I look at Howard's map of his world and read his historical essay on it, "The Hyborian Age", I see definite parallels with Tolkien.
I don't remember precisely where I read about their views on "fantasy" stories of the time... it may have been in one of the Daily Tolkien threads, posted a long time ago. Here's a link to all of the threads; a number of the articles deal with Numenor, and some comment on Tolkien's idea of "sub-creation".
BTW, the reason I put "fantasy" in quotes above is because JRRT and CSL considered the newly-minted genre of Science Fiction to be fantasy stories; tales of imaginary worlds and all that. Back then, there wasn't the sharp distinction between SF and fantasy that we see today.
I've never read any of the Conan stories, but I can see where there might be parallels to JRRT's Middle-Earth, as IIRC both series in their original concept were set in pre-historical Northern Europe.