Conformal prediction guarantees degrade under distribution shift. We study this using COVID-19 as a natural experiment across 8 supply chain tasks. Despite identical severe feature turnover (Jaccard approximately 0), coverage drops vary from 0% to 86.7%, spanning two orders of magnitude. Using SHapley Additive exPlanations (SHAP) analysis, we find catastrophic failures correlate with single-feature dependence (rho = 0.714, p = 0.047). Catastrophic tasks concentrate importance in one feature (4.5x increase), while robust tasks redistribute across many (10-20x). Quarterly retraining restores catastrophic task coverage from 22% to 41% (+19 pp, p = 0.04), but provides no benefit for robust tasks (99.8% coverage). Exploratory analysis of 4 additional tasks with moderate feature stability (Jaccard 0.13-0.86) reveals feature stability, not concentration, determines robustness, suggesting concentration effects apply specifically to severe shifts. We provide a decision framework: monitor SHAP concentration before deployment; retrain quarterly if vulnerable (>40% concentration); skip retraining if robust.