The first examples of closed 3-manifolds not admitting a conformally flat (Mobius) structure were given by Goldman: 3-manifolds modeled on the Nil geometry (this link was given by Macbeth in the comments above). Sol manifolds also don't have a Mobius structure, whereas 3-manifolds modeled on the other six geometries do. Misha Kapovich has many results on conformally flat structures. In his thesis, he shows that certain classes of Haken 3-manifolds have finite-sheeted covers which are (uniformizable) conformally flat, and he shows there is a graph manifold which has no conformally flat structure, but which has a finite-sheeted cover which does. Kulkarni showed that connect sums of conformally flat manifolds are conformally flat. On the other hand, Kapovich's student Hwang showed that for any 3-manifold $M$, there is a 3-manifold $N$ such that $M {\\#} N$ is conformally flat. I don't know of any recent activity on the topic.
As for your question on maximal Lie group actions on 3-manifolds, I've heard this before too, but I don't know a reference. I think you can prove it by analyzing the action of the isotropy group of a point on the jet space at that point.
