Here is a completely overkill explanation that nevertheless answers the question.
The question of the relation between the conductor of a CM elliptic curve and its associated Grössencharakter is related to something much stronger, namely automorphic induction.
Given a quadratic extension of number fields $E/F$ and a Hecke character $\chi$ of $E^{\times} \backslash \mathbb{A}_E^{\times}$ such that $\chi$ does not factor through the global norm map $N_{\mathbb{A}_E / \mathbb{A}_F} \colon \mathbb{A}_E^{\times} \to \mathbb{A}_F^{\times}$, there exists a cuspidal automorphic representation $\pi$ of $\mathrm{GL}_2(\mathbb{A}_F)$ that is automorphically induced from $\chi$. In particular, their $L$-functions are the same:
\[L(s,\pi) = L(s,\chi).\]
The central character of $\pi$ is given by $\omega_{\pi} = \chi \vert_{\mathbb{A}_F} \omega_{E/F}$, where $\omega_{E/F}$ is the quadratic Hecke character of $F^{\times} \backslash \mathbb{A}_F^{\times}$ of conductor $\mathfrak{d}_{E/F}$, the discriminant of $E/F$, associated to the quadratic extension $E/F$ via global class field theory. In particular, if $\pi$ has trivial central character $\omega_{\pi}$, then $\chi \vert_{\mathbb{A}_F} = \omega_{E/F}$.
Via a purely local argument, one can describe the local components of $\pi$ in terms of the local components of $\chi$. In particular, if $\mathfrak{F}$ is the conductor of $\chi$ (viewed as an integral ideal of the ring of integers $\mathcal{O}_E$ of $E$), then the conductor $\mathfrak{q}$ of $\pi$ (viewed as an integral ideal of $\mathcal{O}_F$) is given by
\[\mathfrak{q} = \mathfrak{d}_{E/F} N _{E/F}(\mathfrak{F}),\]
where $N_{E/F} \colon E^{\times} \to F^{\times}$ is the norm map. So if $\pi$ has trivial central character, then $\mathfrak{d}_{E/F}$ divides $N _{E/F}(\mathfrak{F})$, and consequently $\mathfrak{d}_{E/F}^2$ divides $\mathfrak{q}$.
In the case of a CM elliptic curve, by the modularity theorem this corresponds to a cuspidal automorphic representation of $\mathrm{GL}_2(\mathbb{A}_{\mathbb{Q}})$ with the same conductor, so the above discussion shows the relation between the conductor of the associated Grössencharakter.
