The reason why the first law of thermodynamics is also considered the law of energy conversion is because the law talks about how energy can't be created nor destroyed. This means, given there is no energy added or subtracted from the system, the first and final state of a system will have the same amount of energy. For example, if you were to drop a ball from a cliff, all of the energy from gravitational energy would be converted into kinetic energy. All of the energy would be transferred.
