Confirmed. Chat room created, but only a few messages moved - and no auto-generated comment left pointing to the room.
Works on this question, however: https://meta.stackoverflow.com/questions/284182/moderator-move-comments-to-chat-failing/284184#comment145813_284182
My suspicion is that the process choked when trying to copy the first message from this user - note how that link doesn't exactly work? Marking this as a chat bug.
Ok, balpha fixed that user's account and comment copying completed! I'm leaving this bug open as a reminder for someone to make the logic here a bit more robust, as balpha states that the current code is "sprinkled with differences" - which is more positive than "riddled with bugs", but still probably worth a look.
More notes for those encountering this: even when it fails, the system will often still create the chatroom and copy some or all of the messages - however, the UI won't report this. Subsequent attempts will then notice the chat room already exists and return immediately (again, failing to report exactly what's happening) leading to confusion regarding the exact nature of the problem.