What is your purpose of converting this?
My short answer is: don't convert. Take it as reference and remodel as needed for your purpose.
And long answer (in which you'll understand the short one):
For a successful conversion you need proper face groups. Generate Face Group is an automatic operation and most of the times gives you only a beginning; for some [clean] meshes with sharp edges it gives you all the logical faces groups that converts completely (Keep in mind for open meshes you might convert to Surface and stitch later):

*Note: To see face groups -> Navigation Bar > Mesh Display > Face Groups
But for most meshes Generate Face Group won't give you proper faces groups you need for a clean conversion. In such cases you should initiate Direct Edit mode of mesh that provides the ability to select individual mesh faces and use Create (NOT Generate) Face Group. You use this command together with Combine Face Groups often a loooot of times, which is also not captured in timeline. This way you manually edit faces groups. Also sometimes additional steps e.g. re-meshing might be needed, and then MAYBE you can convert to a solid (sometimes still with a warning):

Add to above:
1. Even if converted without error/warning resulting geometry may have bad surface quality.
2. Most meshes you find on the web have geometry problems, need repair, or lack enough refinement to regenerate the curvature.
3. Some geometry (e.g. blending of fillets) might not convert at all.
Now your mesh consists of 115 mesh shells, are you willing to take this route?
Hamid