Thanks Ferday for the response.
Okay, so we drop the idea that a USB key might be treated in the same manner as a USB drive or a mapped NAS share be treated like a local disk. I can live with that.
How do I do a conversion? I see that there is an Audio Path option within the settings, but that requires a destination to be selected first. I cannot select the destination to even try the path approach.
Here is a screenshot showing a selected playlist->Send To->Drives & Devices. The only option that is always available is Burner. Here there is the USB key, which is inserted in the PC. There is no local drive C, no mapped NAS share, Drive Z.
Without Drive or Device I cannot get to the conversion options to specify the path. If I had access to Drives and Devices, then I could actually set the path directly.
So it seems to me that conversion options are not a solution to not having access to connected Drives & Devices.
Turns out I do not even know how to paste into this post between these tags!