It seems to be working. but this requires checking and editing sfz sometimes.
in my example editing path for samples -> i commented this problem setting "default_path=sfz Xylophone\"
and copy all samples to root. then coverting was successful.
so now i can convert many free sfz instrument to sf2 and use them from LMMS without any vst plugins. it's great.
anyway maybe exists more advanced converter (with full compatibility)?