It is recommended. Agents can remain signed in and will continue to receive contacts. However, their session token refreshes hourly, and if it expires during the conversion, they may not be able to automatically refresh, meaning that they will be down until the process finishes.
If agents are signed in when the conversion process finishes, they should sign out and sign back in again. If they do not, their session will expire one hour after the conversion process has completed and they will be signed out automatically.