I don't understand the problem well, because the error message seems pretty clear to me (it doesn't always happen), can you make an image of the error message as well as the SW window so that we can better understand the context.
There seems to be confusion between the "Convert Entities" function and the "Offset Entities" function, which are neighbors in the command manager. The first makes a simple projection of the selected entities in the sketch plane, the second draws a parallel profile at a given distance. Your error messages correspond to the "Offset entities" function, which is much more demanding on selected entities that must form a continuous chain....
My confusion comes from the error message you receive, which is exactly the same as the one returned by the "Offset entities" function. For this function, the selected entities must form a string, which is specified in the message.
The "Convert Entities" function is much more tolerant and accepts multiple non-joined selections. However, I tried to select a face of a left volume object, with a projected outline that intersects. The conversion is rejected with the same message. I have the idea that the message expresses an error, but is not adapted to the context. What types of entities are you looking to convert? Your selection seems to include points, planes, sketches, axes... Some of these elements are not "projectable" by SolidWorks (plans, axes, etc.). Have you tested converting these objects one by one to try to identify which ones are causing problems?