Hi Ole,
From my knowledge, and after searching through the documentation and doing some testing on my own, the functionality of converting graphics to features in ArcGIS Pro does not yet exist. You can, however, add graphics directly to your map document via the Map Notes layer templates accessible from the Insert tab.
Based on the ArcGIS Pro Roadmap, it does look like further map graphic changes are in the works, so this might be a good thing to add to the Ideas page here on GeoNet if you'd like for it to be implemented in the future.
Thanks,
Colin