In the original portion of my 1940's house, I have three outlets that have wires being ran using conduit. When I test them using a three prong tester, it shows that they are grounded, but when I open them up there is no ground running from the outlet to the metal box. Why or how does the tester show the outlet grounded?
Have confidence in that. Metallic conduit is a higher standard, used in most commercial installations. Ground is the conduit itself - you don't see many green or bare wires in conduit work.
However - the outlet screws as the only ground path is not OK. Pigtail a ground wire from the junction box. Most boxes have have one hole tapped 10-32, for a ground screw... here are fancy ones. Do not use 10-24 or a sheet metal screw!
To keep a bare wire from hitting the side screws (even if you use stabs), wrap the outlet with tape.
Also go downstairs and make sure the ground path is solid - i.e. all the conduit splices are tightened. If something makes you nervous, you can double it by running a ground wire, that's the beauty of conduit, you just can!
Metallic conduit can act as a ground path to the box, and the outlet is then grounded because it is in contact with the box(and held in firm contact by its mounting bolts). Traditional, conforms to code.
I'm personally not as happy with it as I would be with a real ground wire and have tended to install GFCI outlets in these locations when I notice them on the belt-and-suspenders principle.
There is a type of device (receptacle, switch, ...) that is called "self-grounding" that is used in these applications -- there is a spring clip on each end that is pressed firmly against the box wall by the mounting screw at that end. It appears that your receptacle lacks that -- which means either a bare ground pigtail from the green screw to a 10-32 screwed into the box should be installed, or your receptacle should be replaced with a self-grounding type.
As to the fact you have conduit -- yes, metallic conduit is allowed to serve as a ground path instead of a wire -- and in many ways, it is a higher standard: you can add wires without having to rerun cable, and you can't accidentally put a nail into a wire either. There is one problem though, and that is that the thin type of "conduit" that has come into wide use recently, known as Electrical Metallic Tubing or EMT, eschews the pipe-style threaded joints of regular conduit (RMC or IMC) in favor of a set-screw connection that while easy to make up in the field, has an annoying habit of coming apart over time, breaking the ground path.