(Note: Converting my comment to an answer after the edit)
There is a sense in which "carry" can point out someone who really does the main work (in this sense you might say that a sports player who is very good "carried his team to victory").
So in a conversation among multiple people--you might be pointing out certain individuals as the "they" who "carried a conversation". Without these people, it would have been silence otherwise. Perhaps everyone else would have "let it drop"--because they are bad conversationalists or didn't like each other enough to talk. :-)
He is disappointed that the women seem unable to carry a conversation.
What this might be saying is that he is disappointed that these women can't be good conversation leaders. They aren't able to ensure a good conversation goes on--no matter how bad the other people involved are at talking.
He is disappointed that the women seem unable to carry on a conversation.
Here they're not leaders, and moreover they're bad at participating at all. They aren't being asked to carry the whole conversation, merely to continue it a bit at a time...to carry on from the thing the last person said.
It's not a typical distinction--because we don't usually treat conversation as a competitive team sport, and talk about who "carried" it and who "dropped the ball". If you're not playing judge of how well people are doing at the conversation game, and just talking about what happened, then carry on is the right plain description for when "those people were talking".
Also: to single out someone and say they "carried on about something" would mean that they talked about it for a long time...generally too long. But when people "carry on" a conversation among themselves--without saying just one person "carried on"--it just means that the conversation kept going.