It depends on where it is found. Global conversion effects pretty much everything (skills, gear procs, celestial powers, flat damage etc.) whereas conversion on a transmuter or skill modifier only effects that skill and any damage added to it after that conversion takes place (such as from auras or passive buffs).
also weather it includes retaliation damage
(which im assuming would be noted if it did)
Retaliation damage cannot be converted. There is no way to do it currently.
also not sure if i just missing it, but would be cool to alter visual effect to match conversion (ie, colour change)
You’re not the first to ask this :p. As much as I’d love for this to happen as well, what I have gathered is that graphical changes like this have to be done manually instead of dynamically. Implementing the latter I imagine would require changes to the engine to allow it.
This topic and comment from Zantai cover it good enough: