Appreciate your help with my questions
What are conceptual requirements? How do they compare with stakeholder, business and functional requirements?
what CASE tools can be used to capture conceptual requirements and scope?
You're running into some odd terminology. A conceptual requirement is somewhat like a "Principles of Operation" or what we at Sun (RIP) used to call a "one pager". The idea is to present a short (!!) document describing the problem, the desired solution, and the business case for doing it.
The ideal case tool for this is a plain text file, although Word or OpenOffice are certainly acceptable in a pinch.