Exclude Converted Leads option will ignore leads that have been successfully converted to contacts. This can only be used in the Leads module.
The converted leads will be ignored in all further syncs you create in any module. This means that you cannot add those contacts as subscribers in any of your Campaigns mailing lists.
Solution
You can have separate mailing lists for your leads and contacts. When you set up sync with the Leads module, enable the Exclude Converted Leads option so that converted leads will be ignored in the associated leads mailing list. You can then add those contacts to another mailing list.
OR
If you're maintaining a single mailing list for CRM contacts, disable this option when you create the sync.