File > Save As Issues, when the File Has References
When using File > Save As in MicroStation to convert a master file and its attached files to another format, ProjectWise does not automatically import the newly converted references into ProjectWise, therefore it cannot create a new set out of the converted files. You will need to perform some manual steps to create a new set out of the converted files.
After using File > Save As, go to your working directory and drag the new files into ProjectWise Explorer.
Run the reference scanning wizard in ProjectWise Explorer (Tools > Scan References and Link Sets) to create the set relationship in ProjectWise for the new files.