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The option to convert Quicken data directly to QuickBooks Self-Employed is unavailable at this time. You can either import transactions using a .CSV file or connect the bank directly to your QBSE company.
To transfer the data:
In your QBSE company, go to the Gear icon and choose the Imports menu.
On the Import transactions page, choose the account type where you want the data to be posted.
Under the Action column, select Import older transactions.
In the Import transactions window, follow the instructions on how to bring the data to QBSE.
Once done, click on Import.
Here's an article with detailed information on how to export and download bank data: