You meed to enable a setting for validation rule to work: Documentation validation rule not firing when converting Leads says-

To enforce a Validation Rule when converting leads, you need to enable 'Require validation for Converted Leads.'

Note: If the 'Require validation for Converted Leads' setting is not available, please contact Salesforce Support to enable the 'Use Apex Lead Convert' permission.

You need to enable a setting for validation rule to work: Documentation validation rule not firing when converting Leads says-

To enforce a Validation Rule when converting leads, you need to enable 'Require validation for Converted Leads.'

Note: If the 'Require validation for Converted Leads' setting is not available, please contact Salesforce Support to enable the 'Use Apex Lead Convert' permission.

You meed to enable a setting for validation rule to work: Documentation [validation rule not firing when converting Leads] (https://help.salesforce.com/articleView?id=000331020&type=1&mode=1) says-

To enforce a Validation Rule when converting leads, you need to enable 'Require validation for Converted Leads.'

Note: If the 'Require validation for Converted Leads' setting is not available, please contact Salesforce Support to enable the 'Use Apex Lead Convert' permission.

You meed to enable a setting for validation rule to work: Documentation validation rule not firing when converting Leads says-

To enforce a Validation Rule when converting leads, you need to enable 'Require validation for Converted Leads.'

Note: If the 'Require validation for Converted Leads' setting is not available, please contact Salesforce Support to enable the 'Use Apex Lead Convert' permission.