In reply to David Morgan.

@David Morgan - I installed the latest version of Gutenberg (ver 7.7.1).

I edited a single post containing shortcodes and Convert to Blocks. This worked great. So this is not an issue with Gutenberg 7.7.1.

I then opened up the Bulk Block Converter and Scanned. I then Convert one single post containing a shortcode. The converted post did not contain the actual shortcode.

So it seems the plugin behaves differently than Gutenberg...