If the save files were named wrong, the R4 would just say it can't find a save. My guess is that you may have selected the wrong type of save file in the converter, and the software isn't smart enough to figure that out.
You're trying to convert saves from a slot 2 supercard, right? If so, you could try this save converter I made:
http://gbatemp.net/index.php?showtopic=48555
It doesn't have any options, it only converts from raw 256k saves (like the slot 2 supercard uses) to raw 512k saves for the R4. You just drag all the saves you want to convert onto the .bat file, and it does them all at once.
Someone also made an online save converter, if you want to give that a try:
http://gbatemp.net/index.php?showtopic=48582