I think you'll find that you can only select assets which have a GraphicalStyleName property defined. I suspect that it looks up the default symbol properties from this symbol - it needs to lookup connection type, tag requirements etc from somewhere.
I think you'll find that you can only select assets which have a GraphicalStyleName property defined.
That is a good restating of the Problem.
The question is how to fix or work around said problem. In most cases if a graphical style already existed, you would not need to convert-to-P&ID-object. -And creating an empty block for every class seems prohibitively time consuming and difficult.
There is no real "fix" for that, because it behaves this way by design. You could create a default block and assign this block to all the "blank" classes.
Not a real solution I know.
I will log a feature request with our developers to give the user the ability to create new class symbols using the "Convert to P&ID Object" command.
At the moment you will need to workaround this limitation by creating a symbol for the class before using the "Convert to P&ID Object" to add a new symbol.