I have ran the transfer program and supposedly converted the file. However, when I try to load the file it is still in Venice.

Is it possible I did something wrong?

Did you start SM1 or the normal game?
It should give you the choice at the start.

I tried to continue campaign. Also started sm1, and then tried to load the game.

I made a script for it a while ago, maybe it's of use to you.

https://www.gog.com/forum/wing_commander_series/wing_commander_1_transfer_to_secret_missions_1/post2

Thank you. I saw that. When I use the transfer program it says I successfully converted, but when i load the game it loads up venice.

Maybe you chose to load the wrong bunk?
Or maybe your save is bugged, try transfering a different one.

I tried multiple saves. Same thing happens with both.

Is the game installed in Program Files (either one)?

Probably the saves have problems because of that? Windows often plays havoc with older games under program files, I usually keep most of my games in a folder directly under C: to avoid problems.