This is because dolfin-convert is no longer maintained. This means that if something stops working, it will not be fixed (see for instance this error Dolfin-convert: ValueError when converting .msh to .xml).
It dolfin-convert works for you, I guess you are using an older version of gmsh. Current version is 4.6.0.
The second reason is that it is preferrable to save your mesh in the XDMF format, and not in the XML format (especially for parallel computing).