I have seen this on some of my data sets, but on others I see very nice correlations between my utilities and my rating scale variables.
When I've seen this happen, it's often in studies where I suspect my rating scale questions have a lot of halo effect (in a lot of brand image studies, for example, there is very little BUT halo effect going on).
Your case does sound extreme, however. I don't now that I have an answer for you. Do the conjoint utilities on their own make sense? Do your other variables, on their own, make sense? I take it your answer to both is "yes" or you wouldn't have asked the question, but it always pays to ask.