Here's the simple counterexample: Suppose you have a pill that, if swallowed, will cause you to believe the Earth is flat. Now, given my generous offer, you ask yourself what you ought to believe. After reflecting on the costs and benefits of having a false belief in this case, you conclude that you (all things considered, rationally) ought to believe that the earth is flat. So you take the pill, and so receive the million dollars.
Surely this is a case of deliberating about what you ought to believe. But it's a case where you took practical incentives, and not merely truth-indicative evidence, to be relevant reasons influencing your decision. So "transparency" does not hold in all cases of doxastic deliberation after all. There is a special type of deliberation, which we might call rational inquiry, which is (by definition) exclusively concerned with the pursuit of truth and knowledge. But not all deliberation about what to believe need be so constrained.
Now, Shah responds to this line of argument by redefining 'doxastic deliberation':
In the sense I have in mind, deliberating whether to believe that p entails intending to arrive at a belief as to whether p. If my answering a question is going to count as deliberating whether to believe that p, then I must intend to arrive at a belief as to whether p just by answering that question. I can arrive at such a belief just by answering the question whether p; however, I can't arrive at such a belief just by answering the question whether it is in my interest to hold it.
In the practical counterexample, as a result of your deliberation you do end up intending to believe that the earth is flat, it's just that to realize this goal you must take the extra step of swallowing the pill. You can't achieve the goal through deliberation alone. But why should that matter? In any sort of practical deliberation, you end up with an intention to perform some further action. If I decide that I ought to give to charity, I cannot achieve this goal through deliberation alone - I need to actually go out and do it! That doesn't mean I wasn't deliberating about whether to give to charity. So why should it mean that I wasn't "truly" deliberating about whether to believe that p? It seems arbitrary and ad hoc to restrict doxastic deliberation in such a way.
No doubt the conceptualist will want to reject my analogy with practical reasoning -- after all, their whole point is that theoretical reasoning is of an entirely distinct nature. They grant that one can deliberate practically about what to do regarding one's beliefs (e.g. whether to take the flat-earth pill), but they want to distinguish this from theoretical deliberation over what to believe.
I think this separation is artificial, however. In the flat-earth case, the only reason you need to take external action (i.e. the pill) is because it's psychologically impossible to believe at will for non-evidential reasons. If you could change your beliefs by sheer force of will, you presumably would do so. It's just that you lack the capacity. But that fact doesn't seem to be of any great normative significance. Suppose you've already taken another pill, which temporarily gives you precisely this capacity. Then you could come to believe that the earth is flat by deliberation alone. As soon as you conclude "I ought to believe that p", you will thereby find yourself believing p, no further action required.
So doesn't that serve as a counterexample to transparency? Further, I don't see why the stipulations about 'further action' should really matter in principle. It should be enough that one can deliberate and come to the conclusion that I ought to believe that p, for non-evidential reasons. This is surely the crucial step. How you intend to acquire this belief, or even whether it is psychologically possible for you to do so, are further questions that have no obvious relevance here.
Now, there are deliberative contexts where transparency holds without fail: namely, those I described above under the moniker of "rational inquiry". But this holds trivially. If we define 'inquiry' as the single-minded pursuit of truth, then it should come as no great surprise that we accept only truth-indicative reasons when deliberating in a context of inquiry. Transparency is here built into the very definition of this deliberative context.
So here's the problem for conceptualists: If they define theoretical reason broadly enough to capture any deliberation over what one ought to believe, then it will include practical reasons as in the case of the flat-earth pill. Alternatively, if they restrict theoretical reason to the specific practice of inquiry, then they have simply built transparency into the definition, and can derive no interesting conclusions from this tautology. Neither extreme can support their claims. But attempts to stake out a middle ground by appealing to our psychological capabilities just seems arbitrary. Why should the nature of a deliberation be affected by how we intend to implement our conclusions?