One thing to take note of when converting from a file geodatabase to an ArcSDE based (SQL Server Express in your case) database, is the user permissions. With a file geodatabase, you don't have to worry about database user or Windows accounts etc. With an enterprise geodatabase, albeit "personal" ArcSDE, you do... If you don't setup a proper system for database users and permissions on Feature Datasets / Classes using roles, you may be unable to access data even though already converted and inserted in the database unless you set proper permissions. This is especially true if you run multiple accounts on the same computer, e.g. administrator or restricted users.