Nothing happens when you select an Apple Loop in the Arrange window and choose "Convert Regions to new Audio Files" from the local Audio menu. No new audio file is created, and no alert appears.
This function currently only works for normal audio regions, not for Apple Loops.
If you need to convert an Apple Loop
In order to convert an Apple Loop into a new audio file while preserving the transpose and tempo settings of the current song, use the function:
File > Export > Region as Audio File...
Note: This will export the Apple Loop as a new audio file but will apply all plug-in effects that have been inserted into the track where the Apple Loop resides. To export the Apple Loop without these effects, bypass them before exporting the Region. To bypass a plug-in, click the plug-in insert slot while holding down the Option key. The new audio file isn't automatically added to Logic Pro's Audio window. To use it in your song, drag it from the Finder to the Arrange or Audio window.
This document will be updated as more information becomes available.