I am sorry, I mean this in earnest, and do excuse any ignorance of mine: Do we know that LLM's do not have it?
Having said that, your concern is technically correct: we don't. Because we don't know what conscience is, we cannot provide a definition against which to test whether it conforms or not.
Sort of like when Terminator robots will be exterminating the human race they probably won't be technically killing us. Just, like, reprioritizing world's water from humans to datacenters, all of it. But not killing people, no.