I have Hassio on a Raspberry Pi with a ConBee II stick. I would like to add Philips Hue to my setup. Do I only need the lights or would I gain anything by buying a bridge as well?
It depends on what devices you have connected to your conbee ATM and if they will work with the hue bulbs. But I would start by buying only the bulbs if I were you.
There is a list of compatible Hue bulbs here, which suggests that the bridge is not needed. Buy one of them and try it out (not a colour one - they are more expensive).