Can you be more specific and/or send some additional code, because the Seam conversation is working perfectly in whatever scenario you pick. Maybe you're a bit confused with what exactly IS a conversation, because there is ALWAYS one active. At the moment you use Begin or add an element to pages.xml, the conversation changes to a LONG-RUNNING conversation which is diretly related to the scope you defined at bean level. It is NOT THE SAME as a session which starts and is maintained when you initiate the communication.
If you want to see how it works, try the Seam component Conversation and with the aid of log and the included conversation methods you should see how the conversation changes while you are accessing the bean with the methods.