This is the reason for the "This lead is not yet converted" message - it's the system's way of warning the user that they have a Lead in a converted *status* but that the lead has not gone through the actual conversion process.
The Path only allows users (in Lightning) to move Leads through various Stages / Statuses but does not allow them to actually Convert the lead.
To resolve, Add the "Convert" button on the Leads Page Layouts.
To add the "Convert" button to Lightning Experience and allow Lead conversion, edit the applicable Lead Page Layouts.
Steps :
Note: If the Convert button is still not available in the Actions even after adding it in the Page Layout, then check if the Lightning Record Page has Dynamic Actions enabled.
See also:
Considerations for Converting Leads
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