As far as I remember we already have discussed this problem in the past here in the forum.
The conversion fails because of the hash (#) in the file name. The converter seems to be unable to write files with that character in the name.
So rename the files avoiding the character # and the conversion should work OK.
EDIT: Just found the old thread
https://community.ptc.com/t5/Mathcad/Mathcad-15-to-Prime-Conversion-Failing/m-p/793954/highlight/true#M200949
I would have thought that was considerably longer ago.
Nevertheless, I think this is a bug and if you feel like it, you can report it to PTC support.