Here's why:
* Comprise means to include or consist of. It suggests a whole made up of parts.
* Conclude means to bring something to an end, to finish, or to decide upon something after consideration.
Let's look at examples:
* Comprise: "The team comprises five players." (The team is made up of five players.)
* Conclude: "We concluded the meeting with a summary." (The meeting was brought to an end with a summary.)
The other words you listed - include, consist, and embrace - all have meanings closely related to "comprise."