Correct me if I'm wrong - by which I mean, tell me where in game it says this - but I was very much under the impression that concepts certainly don't get souls.

The short story where Hades has to deal with the phoenix concept shows how horrified he is that it somehow has a soul when it shouldn't..

Any creatures remain concepts until Hythlodaeus passes them for 'general use'; before that, no souls. They still die, of course, if they're 'discontinued' but the Ancients seem to collectively see this not as death but as a change of form; they go back to aether and get used again in some other concept