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.