Hello Kathleen. This is my thinking on the subject. Believing conspiracy theories exist is not a sin. Conspiracy is rampant in this sinful world. Yes, God is sovereign and allows the leaders we have. This is what Jesus tells us about that:
"Do you refuse to speak to me?" Pilate said. "Don't you realize I have power either to free you or to crucify you?" Jesus answered, "You would have no power over me if it were not given to you from above. Therefore the one who handed me over to you is guilty of a greater sin."
Now, Pilate was in power because it was given to him from above, yes. But why was Jesus before him in the first place? Because as we read in Matthew, "The chief priests and the elders…plotted together in order to arrest Jesus by stealth and kill him." Did Jesus already know this? Of course! Did he believe it was a conspiracy against Him? Surely so. Did Jesus ever sin? NEVER! Could we, in a manner of speaking, say those who believed this conspiracy was going on were in any way sinning? I doubt it. Were those evil men doing the conspiring sinning. Indeed!
All that said, the only potential sin would be, in my personal opinion, putting too much time and attention chasing conspiracy theories around rather than placing our trust in God who, as you correctly stated, is in control. But sticking our heads in the sand and ignoring what is going on in the world isn't the best decision either.
I hope that helps, and hope more so that I'm not off the mark. If so the moderators will likely chime in :)