You are not doing anything wrong - this is normal behaviour.Converting a drawing from one environment to another discards any connections. This is because the layout of Pictorial and Block schematics will be different, and while the Block is intended to show ALL connections, the Pictorial is intended only to show an overview of the system, without full engineering detail.
The Convert To function assembles all of the products used in one environment in a new document in the second environemnt. The user can then position those products and re-define connections as appropriate.
I hope this is helpful.