Assuming all P.L. are P.L., then all three must have dirt on their face.
Each reasons as follows: Let me construct a First Lemma. My First Lemma is that if only one Proper Lady has dirt on her face, she immediately turns red. The reason is simple: She must see neither of the other Proper Ladies has dirt on their faces, so since the Conductor (being a Proper Lady also) is not lying, she herself must have dirt on her face.
(Each Proper Lady actually constructs her First Lemma within the first second.)
Let me now construct a Second Lemma. My Second Lemma is that if two Proper Ladies both have dirt on their faces, they rapidly turn red. The reason is almost as simple: Each of the Proper Ladies with dirt on her face sees one Proper Lady with dirt on her face, and one without. Each of them would realize that if she herself did not have dirt on her face, the Proper Lady with dirt on her face would immediately turn red (by my First Lemma). Since that does not immediately happen, each of the Proper Ladies with dirt on their face must turn red rapidly.
(Each Proper Lady constructs her Second Lemma within the second, err, second.)
Now, I see two Proper Ladies with dirt on their faces. By my Second Lemma, if I did not have dirt on my face, both of the other Proper Ladies should have turned red rapidly. But they did not.
Oh $%&! I have dirt on my face!