When using the Convert Entities sketch tool, selecting a face to convert results in the outside edge(s) of that face are converted into sketch entities. Sometimes, however, you may wish to convert edges that are internal to that face.
There are two ways to accomplish this:
1) When in a sketch pre-select a face and use the CTRL key to also select an edge of the internal loop, then select the Convert Entities command. This will result in the internal loop edges being converted to sketch entities.
2) From the Convert Entitles Dialog box, if you select the face and one of the edges from an internal loop (dialog box will show Loop, not edge) then click the green check box. This will result in the internal edges becoming sketch entities.