On the site where I am moderator, I closed a question using a custom reason, and then converted the answer in a comment.
Even though the answer was posted the day before, and the comment is shown as posted when the answer was posted, the converted-answer comment is considered a reply to the comment automatically added when I closed the question. I even got a notification in my inbox.
I guess that each comment stores when it was created, and that value is used to decide which user should be notified. In the case of converted answers, the created and the posted values for the created comment are different.
I also take this happens every time an answer is converted in a comment.