The conversion process takes money and energy and so adds cost. Depending on the price of oil it may or may not be economically feasible. CNG has some other benefits, too. It burns so cleanly that oil changes are required less often and engines last longer. The drawbacks of cold weather starts and less availability compared to gas stations are solved with a dual use vehicle.
I didn’t know that CNG vehicles had a problem with cold weather starts? How bad is it?