The conservation law for momentum states that if there is a translation symmetry in our system, the momentum will be conserved. Translation symmetry requires that the potential should be constant.
Now think about how do the solutions for the energy eigenstates with potential $V(x)=0$ look like ? If you solve the time independent Schrödinger equation in 1 dimension you will find $\psi_p(x) =e^{\frac{i p x}{\hbar}}$. But those are also eigenstates of the momentum operator, which means that when you measure the momentum of $\psi_p(x) =e^{\frac{i p x}{\hbar}}$, you should get $p$ with probability 1. (The momentum is related to the energy with the equation $p=\sqrt{2mE}$ since there is only kinetic energy)
So since the eigenstates of the energy are the same as the eigenstates of the momentum, the momentum is conserved in time !
You might know that it is actually impossible to know precisely the momentum of a particle. Indeed it is not possible to be in an eigenstate of the momentum, since it is not normalisable. But any wave function is a superposition of these $\psi_p(x) = e^{\frac{i p x}{\hbar}}$ (you know that from the Fourier transform). So if you had several particles prepared with the same initial wave function in a world where $V(x)=0$ everywhere, you would probably measure different momentum for different particles. So what is conserved ? The expectation value! In other word, conservation of momentum states that for any initial wave function in a world where $V(x)=0$ the expectation value $\langle p \rangle$ will not change over time.
Now to your example with the Harmonic oscillator. In QM, we say that the momentum is conserved when its expectation value is conserved over time. So for an eigenstate of the energy in the HO, the momentum IS indeed conserved over time, but it is not true for a superposition of these energy eigenstates, whereas if $V(x) = constant$ all possible wave function will have a constant expectation value for the momentum.
With this I answered the title "What does conservation of momentum mean in quantum mechanics?". Now the question "Why do we say that momentum in conserved when different measurements on particle give different values of it ?" We say the momentum is conserved since its expectation value doesn't change over time for a closed system (without interaction). When there is a measurement, there is an interaction which changes the wave function and probably also the expectation value of the momentum. Different interactions can lead to different expectation values of the momentum, in these cases, the momentum is not conserved. But as long as there was no measurement, it makes sense to say that the momentum of the particle is conserved.