Its look like that you have not installed the "Hybrid Renderer" Package.
When you want to convert Game objects to Entities then you have to also install "Hybrid Renderer" from package manager.
Open up package manager from Windows -> Package manager.
Then search "hy" then Install "Hybrid Renderer".
Same thing happen to me and from some where on internet i found this and it resolved my issue immediately.I am sorry i don't have link to it but it workedworkes.
I hope this will help.

