The drop makes perfect sense. The debut would have artificially high ratings due to two groups, maybe three:
- the group that always watched Leno, wanted to see what the replacement would be like. Maybe these people had watched Conan once or twice before, but never got caught into it or didn't work with their time. They caught his debut, weren't impressed, and decide they won't be watching that network at that timeslot.
- the group that were interested in Conan to a degree, but couldn't quite get themselves to watch the show when he was on. Now, they tuned in for his debut, maybe hoping the time change would bring about a different comedy style to appeal to those who watch that timeslot. Unimpressed, they don't tune in anymore.
- Maybe people who were fans of different networks were intrigued by the concept of a new host, and wanted to see if they could be swayed to someone else in the event they just happen to be better than what they watch. This group might also not even be a fan of any of the late-night hosts, but may have figured a fresh face might have changed their interest in a late-night show.
I think as time goes on, the ratings will creep up, but Conan's style is a bit different. I knew one person whose schedule didn't even allow him to watch the typical Leno time slot, and he liked Conan but can't watch him now. But regardless, he's a different type of host from the big names, and might not appeal so well to the earlier night crowd. I always did other stuff while the big names were on, and would catch Conan or put it on in the background while I sat around.