I think it's an example of the old addage that a little knowledge is a dangerous thing. I agree with you that conspiracy theories require a degree of critical thinking. But it's necessarily flawed or incomplete thinking. If someone understands (explicitly or intuitively) Bayesian reasoning for instance, they're going to be less likely to believe conspiracy theories than someone who thinks 'less critically'.
I think the term "conspiracy theory" is most commonly used to refer to untrue conspiracy theories. That's how I meant it in that comment. Obviously yes, conspiracies do sometimes exist, and one could have theories about them.
