I think the problem is that the Steam version uploads saves to the cloud so that if the new save isn't recognized (as in converted Hyne saves), it gets deleted automatically.
To fix it, all you have to do is start the game to the point it asks to load the memory cards.
Press Alt + Tab to back out of the game without quitting, and then put your new save in the Steam's save folder (which should be a Square Enix folder in your documents by default) and then go back to the game and load the files.
The save should show up. When it does, save immediately so it will be recognized, because if you quit the game without saving, it'll delete itself again after for the same reason above.
Hope this helped.