I have scoured the known bugs mega-thread, searching for the terms "Elemental", "Projectile", "Gem", and "Conversion" individually.
The only knowns issue close to this are as follows:
"Damage conversion perks/gems appear to behave inconsistently across various dmaage over time abilities" - This only references DoT abilities, so it does not seem to apply.
"Using elemental gem on weapons that spawn damaging slices lowers their attack damage" - I don't know what "slices" are in PvP, and I'm not sure how this relates to PvE.
All in all, there are two possibilities:
AGS do not know this exist, or have not updated their mega-thread. This would be very strange given its a Day 1 issue. Despite that, I encourage you to post it on the forums are @ a developer or representative. I'd be interested in their response to whether it's known.
It's intentional. I don't know how, I don't know why, I frankly don't want to speculate or complete my own testing. Maybe someone who can/does can explain.
Regardless, this should be on the forums. Very little good it will do here, other than insight speculation and cause confusion.