Let $G, H$ be complex Lie groups. Then $\mathfrak{g}=\operatorname{Lie}(G)$, $\mathfrak{h}=\operatorname{Lie}(G)$ are complex vector spaces and complex Lie-algebras also. $f: G \rightarrow H$ -- Lie group homomorphism, and $\phi$ is corresponding homomorphism of Lie algebras (its differential at point $e$).
Does it follow somehow evidently that $\phi$ is complex Lie algebras homomorphism (as it is in real case)? And if so, how to deal with the Lie group homomorphism $(\mathbb{C},+)$ to itself by complex conjugation, from which it follows that the corresponding Lie-algebras homomorphism is only $\mathbb{R}$- linear?
Yes, if $f\colon G\longrightarrow H$ is a Lie group homomorphism, then $\phi$ is a Lie algebra homomorphism. In particular, it is a $\mathbb C$-linear map.
What is there to deal with when our Lie group homomorphism is the conjugation? The conjugation is a group homomorphism from $(\mathbb{C},+)$ into itself, yes, but it is not an analytic map. Therefore, the Lie theory doesn't apply here.