It's intuitive that a concave quadrilateral cannot be circumscribed by an ellipse nor by a parabola.
I can prove it by analytic geometry:
Without loss of generality, let $L_1\equiv m_1x -y +r_1=0$, $L_2\equiv m_2x -y +r_2=0$, $L_3\equiv m_3x -y +r_3=0$, $L_4\equiv m_4x -y +r_4=0$ be the equations of lines $AB$, $BC$, $CD$, $DA$ of a concave quadrilateral ABCD.
Since ABCD is a concave quadrilateral, by virtue of the theorem stated and proved in The concave quadrilateral and the slopes of its sides, we have
$$(m_1-m_2)(m_2-m_3)(m_3-m_4)(m_4-m_1)<0$$
Besides that, all the conics which circumscribe the concave quadrilateral ABCD can be given by the equation $kL_1L_3+L_2L_4=0$ (except the degenerate conic consisting of the pair of concurrent lines $AB$ and $CD$). This degenerate conic is a degenerate hyperbole because a concave quadrilateral cannot have parallel opposite sides.
Therefore all the conics circumscribing the quadrilateral ABCD (except the mentioned degenerate hyperbole) are given by the equation $$k(m_1x -y +r_1)(m_3x -y +r_3)+(m_2x -y +r_2)(m_4x -y +r_4)=0,$$ $$(m_1m_3k +m_2m_4)x^2-((m_1+m_3)k+(m_2+m_4))xy+(k+1)y^2+...=0$$
The type of this circumscribing conic is given by
$$\delta=(km_1m_3+m_2m_4)(k+1)-\frac 14(k(m_1+m_3)+(m_2+m_4))^2,$$
This circumscribing conic is an ellipse if $\delta>0$, an hyperbole if $\delta<0$, a parabola if $\delta=0$.
Developing $\delta$ we get
$$4\delta= 4m_1m_3k^2+4m_2m_4k+4m_1m_3k+4m_2m_4-((m_1+m_3)^2k^2+2(m_1+m_3)(m_2+m_4)k+(m_2+m_4)^2),$$ $$4\delta=-(m_1-m_3)^2k^2+2[2m_2m_4+2m_1m_3-(m_1+m_3)(m_2+m_4)]k-(m_2-m_4)^2,$$
$$4\delta=-(m_1-m_3)^2k^2+2[(m_1-m_3)(m_2-m_4)+2(m_1-m_4)(m_3-m_2)]k-(m_2-m_4)^2$$
Now let $\psi$ be the discriminant of this second degree equation in k: $$\psi=4[(m_1-m_3)(m_2-m_4)+2(m_1-m_4)(m_3-m_2)]^2-4(m_1-m_3)^2(m_2-m_4)^2,$$ $$\frac 14 \psi=[(m_1-m_3)(m_2-m_4)+2(m_1-m_4)(m_3-m_2)]^2-(m_1-m_3)^2(m_2-m_4)^2,$$ $$\frac 14 \psi=4(m_1-m_3)(m_2-m_4)(m_1-m_4)(m_3-m_2)+4(m_1-m_4)^2(m_3-m_2)^2,$$ $$\frac 1{16} \psi=(m_1-m_3)(m_2-m_4)(m_1-m_4)(m_3-m_2)+(m_1-m_4)^2(m_3-m_2)^2,$$ $$\frac 1{16} \psi=(m_1-m_4)(m_3-m_2)[(m_1-m_3)(m_2-m_4)+(m_1-m_4)(m_3-m_2)],$$ $$\frac 1{16} \psi=(m_1-m_4)(m_3-m_2)(m_1-m_2)(m_3-m_4),$$
$$\frac 1{16} \psi=(m_1-m_2)(m_2-m_3)(m_3-m_4)(m_4-m_1)$$
Hence this discriminant $\psi$ is negative and since $-(m_1-m_3)^2<0$, $\delta$ is always negative. Consequently a concave quadrilateral can only be circumscribed by hyperboles, therefore it cannot be circumscribed by an ellipse nor by a parabola,
QED.
Is there another formal proof of it?