Simple script I made to help other.
It seems there is a problem in maya to convert selected edges to curves, when there is selected multiple objects, even combining them is not helping.
CreativeCrash download:
http://www.creativecrash.com/maya/downloads/scripts-plugins/polygon/c/edges-to-curves
If there is some problems or suggestions, use creative crash(bugs, requests, reviews), just to make all that in one place.
Video demonstration: