Hey I know this is a bit old but I ran into the same problem recently.
I was right clicking on a spline mesh actor and selecting “convert to static mesh” which would only save out referenced mesh the spline mesh actor was using but not the curved version I created in editor using splines.
I realized that I was not using the right convert tool I had seen used in the spline video Epic put up a while back.
https://youtu.be/4gBAOB7b5Mg?t=1h2m5s
Just needed to use the merge actor tool, not the “convert to static mesh” option. It can be found when right clicking on an actor, a bit further down just under the place / replace actor options, or under Window->Developer Tools->Convert Actors. This grabbed all the spline meshes and kept their shape after converting.
Hope that helps someone as its just a slight difference in wording that threw me off.