Following the recent release of various Artificial Intelligence (AI) based Conversation Agents (CAs), adolescents are increasingly using CAs for interactive knowledge discovery on sensitive topics, including mental and sexual health topics. Exploring such sensitive topics through online search has been an essential part of adolescent development, and CAs can support their knowledge discovery on such topics through human-like dialogues. Yet, unintended risks have been documented with adolescents' interactions with AI-based CAs, such as being exposed to inappropriate content, false information, and/or being given advice that is detrimental to their mental and physical well-being (e.g., to self-harm). In this position paper, we discuss the current landscape and opportunities for CAs to support adolescents' mental and sexual health knowledge discovery. We also discuss some of the challenges related to ensuring the safety of adolescents when interacting with CAs regarding sexual and mental health topics. We call for a discourse on how to set guardrails for the safe evolution of AI-based CAs for adolescents.