Why aren't my vector layers converting?

Does this workflow help:

There is almost never a good reason to convert a Vector layer to a Shape layer. The only exceptions are when you need to animate the vector path, use shape layer animators, or extrude the layer using the C4D rendering engine. 

There is a workaround if you need to pull in all of your Illustrator properties as separate layers and nested comps. Open Adobe XD. Start a new File. Import an Illustrator file. Select the Illustrator file, then choose File/Export/After Effects, and a new comp will be created with every one of the AI layers as a shape or text layer. That workflow will preserve gradients, blends, and a bundh of other stuff that you cannot get when converting a vector layer to a shape layer in AE.