In order to properly convert your Adobe Illustrator files to Figma, Sketch or Adobe XD, you need to properly embed all images that you used across your design.
Illustrator has two options on how images within a file can be stored. They can either be embedded in the file itself or they can simply be linked. A linked image isn't actually part of the Illustrator file itself, it simply stores where an image is stored locally on your computer. As a result if you upload an Illustrator file to XD2Sketch and the images are only linked, there is no way for us to access the images and properly convert your file.
There's two ways to detect that images aren't properly embedded in your Illustrator file.
1. Opening the Illustrator file shows a linked file error:
2. The file doesn't contain all images
In order to solve this make sure all images are properly embedded in your Illustrator file.
When adding images make sure to click "Embed" in the quick actions panel on the right hand side.
Afterwards you should see the "Unembed" button. This means that your image is now embedded.
If you want to make sure that all images are properly embedded simply check the "Include Linked Files" option while saving your Illustrator file.