Durant said something similar to this prior to the World Championship, if I recall correctly.
I don't think it's a big deal for Conley or any other point - saying you'd like to play with someone doesn't mean you don't like playing with the teammates you have now (although I have heard whispers from time to time that Mayo doesn't exactly get along with his team all the time). On the court, Rondo is a great teammate, and he's probably one of the most unselfish players in the league. I think almost anybody would love to play with him.
Mayo has a new contract coming up, though... if he wanted to take a discount - say, the MLE - to play here, I'm sure Rondo would love to play with him too...
[/I can dream, can't I?]