The newer versions of the HD Edition use another asset format. You need to have Patch level 4.3 to successfully convert the assets. You can change the patch level by doing this:
- Right-Click on Age of Empires 2: HD Edition in your games section
- Select "Properties"
- Select "Betas"
- The beta you want to opt into is "patch43 - Patch 4.3"
After you've selected the beta program, wait for Steam to download the files and try converting again.
Make sure you don't have UserPatch, compatibility patches or modifications installed that make changes to the original asset files.
openage does not start a game by default on startup. Press the "generate game" button on the left or, if the game has not finished loading the assets, tick the checkbox marked with "create_when_ready".