Solution (original ticket description in the comments):
U-Boot has been found to have broken UEFI provider support between the versions v2018.09 and v2019.07. This means that any image that has this boot loader will not work with our generic boot method using GRUB as a UEFI application. For mender-convert, the only workaround is to find an image that has a boot loader which is either old enough, or new enough, to be outside that range of versions. Usually the version of a boot binary can be found with something like:
In addition, for the kernel to be loadable, it must have an EFI stub (CONFIG_EFI_STUB). Again the only workaround for mender-convert is to find a kernel which has the stub. At least Debian is known to include the stub, but not all downstream vendors are guaranteed to include this. It can be checked in a similar fashion:
If a dedicated U-Boot port is being used (such as for Raspberry Pi), then UEFI won't be used, and the above issues don't apply.