When saving a DGN file with a Sheet Model to DWG, the DWG file does not convert to an equivalent sheet/layout configuration, instead the data from Sheet Model appears in the DWG model space and the Layout is blank.
In the Save as DWG Options dialog: Save as DWG options, General tab> Advanced, make sure there is no check mark in the option:
Create Separate Files for Sheets.
Should the issue persist:
Note: In V8i SELECTSeries 4 a change was implemented to save a single Sheet Model as Paperspace in DWG by default. However the following variable MS_DWG_SINGLESHEET_AS_MODELSPACE=1 can be set to revert back the old behavior, i.e. to save your Sheet Model as the Modelspace in the DWG.