From the documentation:
Converts the existing File and Directive bundles to a Windows bundle.
A Windows bundle supports all the categories that are supported by File and Directive Bundles except the Actions category.
For example, a Directive bundle that has a Store Personality category is migrated as a Windows bundle with the Store Personality category; but a Directive bundle that has an Actions category is migrated as a Windows bundle with an empty category.

I have a lot of Directive bundles that simply push out a web link or a link to a file on the network. They only have Launch actions.

I'm confused about the upgrade to ZCM 11. What happens here? These bundles get wiped out with no equivalent to re-create them?

I believe the reason I used Directive bundles in the first place was to avoid the "Downloading files for X bundle" popup for a simple application that just provides a shortcut.