We try to select Assign or convert, and there is no way to have convert option. All times that I select, and open dialog again, Assign is selected.
Ok launch CorelDRAW but have no file open and grab captures of the color management dialog please.
I recorded my screen to show.
See that I have an open file, tried several times to change the option and it did not accepted.
I changed other options in Color Management dialog and it accepted.
And in the online help there is no mention about this feature.