Sadly conditional formatting is not yet supported in xlsx. It is the biggest thing remaining to have 100% xlsx support, and cf support is scheduled for the next release.
The only workaround right now is to use xls instead of xlsx if possible. Xls will preserve cfs, and even evaluate them and display them correctly when exporting to pdf/printing/etc.
I hope the next release will be by the end of this year start of the next, because it also comes with winrt support and Excel 2013 support (encrypted files are different in 2013), so it is a big release, with lots of things to do.
I wish I could give a better answer, and I hope we can have this finished as soon as possible.