I agree that there´s virtually no conservation value in the fact of having animals in captivity. Not compared to what really matters, which is what Mark, pointed out, habitat conservation. There are specific instances where ex-situ conservation has proven to be important, but mostly these have nothing to do with our hobby. You can count in one hand the number of times animals in private collections have been used for conservation efforts and this is further dwarfed by the impact of our hobby on nature (released/scaped invasive species, introduction of patogens, exploitation of wild populations...)
I used to share into the idea that we could "work on a species", but i don´t anymore. Like Molch, i see value in our hobby (other than the pleassure and delight it provides to us), in the potential for education and the promotion of contact and curiosity about nature. This is not negligible, specially in a world where such a large proportion (about 50% i think) of humanity lives dramatically isolated from nature in hurban environments. There is also the value of understanding the captive requirements and the opportunity for new insight that comes from close contact from species that would otherwise be almost completely ignored. However, that doesn´t amount to much.
I´m sceptic about the results of conservation efforts in zoos, but it may be that i just don´t know enough and i´m generally disenchanted with zoos anyway.
There is one aspect of the hobby that has potential for conservation, which is the breeding of species to reduce or ideally eliminate the mass collection of species in the wild. Of course, the problem is created by the hobby itself in the first place, but we could learn to manage our hobby in a way that has a much, much smaller impact on the wild. Personally i consider it an obligation, although i´m sure many would disagree.
I feel the delusion that by breeding some animals in captivity we will contribute directly to their conservation in the wild has some pernicious effects. It´s an attractive prospect but it´s not realistic. I´ve seen people focus on the breeding which apparently is what constitutes "working with" a species, and loose awareness of very important issues which actually matter, like animal welfare and sustainability.
There is a tiny potential for conservation with animals in the hobby, very tiny indeed, and unlikely to result in much, and we´ve reduced it even further by conducting the management of our captive animals in very unhealthy and uninteligent ways.
Anyway, my point is that conservation and our hobby are largely two separate matters. Our only potentials for impact are education and minimizing the impact our own hobby has.