That is by design to only convert the outer edges of a face. The feature has always worked that way. If you would like it to work differently be sure to put in an enhancement request, for consideration, on the Customer Portal.
As Anna said, that's just how the command works. You CAN use it to select internal edges though. Select your face, then hold CTRL and select one edge of an internal loop on the face. Click Convert Edges, and it will convert all of the edges of THAT loop. If you have lots of internal loops on the face, you'll need to do this for each one (not that convienent for hole patterns and such).
Please add your vote to the SPR 42271 that's already there and waiting... More people adding their bit pushes it higher up to 'Do' list...