My Interpretation of your question :
Why don't agents of the conservative force gain internal energy (i.e. heat) as in the case of friction, instead of gaining just potential energy.
In any Conservative force, Mechanical Energy is conserved. $$\therefore~~ E_{k~(\text{initial})} + E_{p~(\text{initial})} = E_{k~(\text{final})} + E_{p~(\text{final})}~~~~~~~~~(1)$$
In non-conservative forces, mechanical energy is not conserved, and some energy is lost: $$E_{k~(\text{initial})} + E_{p~(\text{initial})} > E_{k~(\text{final})} + E_{p~(\text{final})}$$
To accomodate this lost energy, we can reform the equation as : $$E_{k~(\text{initial})} + E_{p~(\text{initial})}-E_{dissipated} = E_{k~(\text{final})} + E_{p~(\text{final})}~~~~~~~~~(2)$$
Back to your question Why don't agents of the conservative force gain internal energy (i.e. heat) as in the case of friction
EXAMPLE 1
Consider this deliberately made example : 
In this example, the body has some potential energy because of its position. As the body starts moving towards the Earth, this $E_{p}$ starts converting into $E_{p}$, until $E_{p}~\text{becomes 0}$.
So, $$E_{k~(\text{initial})} + E_{p~(\text{initial})} = E_{k~(\text{final})} + E_{p~(\text{final})}$$
$$0+E_{p(\text{initial})}=E_{k(\text{final})}+0$$
$E_{k}$ just before the body reaches the Earth is equal to $E_{p}$ There is no need for storing energy internally, as energy is already conserved.
EXAMPLE 2
Consider another example, this time of a non-conservative force.
If we push the block at A, it moves (e.g.) till B, and stops. Applying equation 1, we get
$$E_{k~(\text{initial})} \stackrel{?}{=} 0$$ but this is not true, as we push the block with some velocity, and it has some initial kinetic energy. Therefore to account for the "lost" energy, we add another term $E_{dissipated}$ to RHS, to comply with Conservation of Energy. And hence we get $eq^{n}~2$ for non-conservative forces.
NOTE
Non-conservative forces like friction and air resistance set in motion the particles the come in contact with. Energy goes into heating up the particles. At microscopic level, this thermal energy includes both the kinetic energy and potential energy of a system's constituent particles, which may be atoms, molecules or electrons etc.
This heating up does not occur in case of conservative forces as these are much more macroscopic and action of these forces is at a distance. Therefore there is no dissipation of energy. Also, most forces in real life are non-conservative, as there is always some energy that gets dissipated.
EDIT
As @t.c stated :
... its path dependence means that work done to an object cannot be successfully retrieved by letting it return to its original position - defeating the whole meaning of "potential" energy altogether.
The Energy possessed by the body in case of non-conservative force is not retained and contained within the system. It gets dissipated. If in example 2, you move the body directly from A to B, there is less dissipation of energy than if it follows an indirect path (eg. a zig-zag or a haphazard path)
Following is a simple demonstration of dissipation of energy (although it is not very accurate)
Source: mw.concord.org
In Example 1, when the body reaches the ground, then the energy will get transferred to the earth. When the body collides with the earth, friction force comes into play, which is non-conservative. Most energy will be transferred in the form of kinetic energy, and most of it will go on to change the entropy of Earth rather than changing its velocity.
If we consider air resistance (non-conservative force), some of the kinetic energy of the body will get transferred to the particles of air, and $E_{k~(body)}$ will decrease, and $E_{k~(air~particles)}$ will increase. The entropy of air will therefore increase.
Therefore, non-conservative forces cause a change in the entropy of the system
EDIT 2 - Response to the comment by @Alb
OP : When a body moves against conservative forces ... on the agent of the forces(earth,charge) & will do +ve work on them. But instead of gaining that work , it is stored as potential energy. Thus though the body loses energy ,the agent doesn't gain that.
The agent doesn't gain that energy because it already gets conserved. When a ball is thrown upwards, and it reaches a max. height $h$, the $E_{k}~(\frac{1}{2}mv^{2})$ when the ball was thrown fully converts to $E_{p}~(mgh)$ at the height $h$. If the agent (say, Earth) of a conservative force (gravity) started gaining the energy lost by the body, it will mean energy sprouted out of nowhere, which'll be a defiance to the law of conservation of energy.
PS: As @Simha pointed out, if earth's negligible motion towards the body is taken into account the agent (Earth) will gain negligible amount of $E_{k}$, but the agent certainly will not gain any internal thermal energy. Consider this :

In the above-given image, consider both bodies A and B have equal mass. B starts to move towards the right, away from A with a constant velocity. Now when B reaches maximum distance before returning back to A, A will have gained some $E_{k}$ and has moved a little bit towards B. Therefore $E_{p}$ of B has reduced, as h (distance) between A and B has reduced. The $E_{p}$ of B as it moves back towards A starts converting to $E_{k}$, and with each moment, $E_{p}$ of B reduces due to two factors - Firstly, $E_{p}$ is converting to $E_{k}$ and Secondly, $h$ is reducing every instant. But if we look at the sum total of all the energies - $E_{k~(A)}+E_{p~(A)}+E_{k~(B)}+E_{p~(B)}$ remains constant.
As far as $E_{p}$ is concerned , it can be argued that it is possessed both by earth and by the body, relative to each other. $$E_{p}~earth=m_{earth}g_{body}h~~and~~E_{p}~body=m_{body}g_{earth}h$$ $g_{body}$ is acceleration of earth due to body and $g_{earth}$ is acceleration of body due to earth. These turn out to be exactly equal:-
$$F_{gravity}=\frac{G m_{body} m_{earth}}{h^2}$$
Reshuffling the equation, we get the values of $g_{body}$ and $g_{earth}$ :
$$g_{body}=\frac{G m_{body}}{h^2}~~and~~g_{earth}=\frac{G m_{earth}}{h^2}$$
Putting value of $g_{earth}$ and $g_{body}$ in above equations of $E_{p~earth}$ and $E_{p~body}$, we get :
$$E_{p~earth}=\frac{G m_{body} m_{earth}}{h}~~~and~~~E_{p~body}=\frac{G m_{body} m_{earth}}{h}$$
$\therefore E_{p~earth}=E_{p~body}$ where h is the height or distance b/w the two bodies.
Therefore, it can't be said that potential energy is possessed by one body. It is possessed by the system, due to the virtue of position of its constituent bodies. However, we can take it to be possessed by either and go ahead with our calculation.