I've never had a conservatory so I can't compare, but I love my garden office.
I've had it for about 20 years now and was £10,000 back then. It's 2m x 4m inside and has a covered porch/deck. It's on a concrete base, has its own electrical whatnot (big fat cable from the house to a little switchboard in the GO), laminate floor, fully double glazed.
It's too big for what I need day to day really, but it wasn't bought with WFH in mind, but more an easy way to get an extra room (small terrace house).
Adult DS sleeps in it when he's home which works well as he has his own space. DS2 and his mates have their sleepovers in it, and occasionally other guests, but it doesn't have a loo or anything so you have to go in the house for that.
For WFH it's perfect. I can 'go to work' and it really helps with the work/life switch. It's a bit like a caravan to keep warm in that it gets cold quickly, but is quick to heat up. I have a free standing elec heater which I'm sure isn't the most economical, but cheaper than keeping the whole house warm all day and I'm not using any fuel commuting.
One downside is that it's obviously not as soundproof as the house and if neighbours are going mad with their outside DIY, leaf blowers, workmen radios it drives me to distraction. It's not a frequent occurrence.
When DS2 is home from school or on holiday he knows I'm working and respects that.