Although I selected the "Select Chain" option in convert entities only one entities is converted. I thought if I check the "Select Chain" option I only have to select one of the curve and it will grab the rest of the curves since they are chained together. See attachment
"In the PropertyManager, click Select chain to convert all contiguous sketch entities."
So, select chain is just for converting sketch entities, not edges as you are trying. You can select a face and an edge, and it will select multiple edges. You can also right click an edge, and use 'select loop' to do what you need. Many options, just have to find them.