Convert to texture is done one shader at a time. You meed to select the shader and its shading group node. The options (size, format etc) are set by the convert options.
The convert will create copy of the shader, "bake" out the texture, assign the baked texture to the copy shader and assign the copy shader to the object. If the same shader is assigned to multiple objects, then a file and shader copy is created for every object.
For me the files were created in the sourceimages folder of the project. The filename is a combination of the shader name and the object name.