Sorry to take so long to reply. If you are still having this issue, please open your Zoom Client, click on Meetings at the top, then select 'Recording' in the upper left corner and find the meeting you are trying to convert. Select the meeting and you will have the option to convert it from there.
If this answers your question, please click on Accept as Solution below.
I have the same issue as @Oliver-F . I cannot double-click to convert, I cannot open with Zoom desktop client, and the recording is not available in my past recordings in Zoom. It is only available as an unconverted file on my computer desktop. Help please?