Please follow this documentation www.joomshaper.com/documentation/sp-page-builder/how-to-tips#how-to-use-shortcode-inside-sp-page-builder

Read also >> https://www.joomshaper.com/documentation/sp-page-builder/how-to-tips#how-to-use-rsforms-or-convert-forms-inside-page-builder

And yes, you can use Convert Forms (Pro/Core) module inside pages, as I do every single time when I need to. You don't need shortcode. CF Module can be used also inside Text addon, where shortcode loading module can be used >> https://www.joomshaper.com/documentation/sp-page-builder/how-to-tips#how-to-use-module-inside-text-addon

And No, by default Joomla 4 or 5 do not allow using component inside different component, it was possible only as hack in J3.x by RegularLabs extension.

Attached screenshot

What I don't understand is why one works and the other doesn't...

https://prnt.sc/x6XMPuhCsOnI

Maybe not all shortcodes can work that way.

Besides, first test if that slider shortcode works in Joomla core Custom module (!), if not - contact with its developer.

I make no secret of the fact that the least problems are when modules are used. Like for example, Convert Forms Module etc.