The converter replaces invalid characters with some other character.
But the \ is a valid character for the Windows file system.
The use of the \ to create new folders is actually a feature, see here:
So if you have files with the \ in the tags then either replace it with a similar looking character that does not have the same function for the OS or add $replace() to your format string.
See e.g. here:
See also here (and you are free to search for more threads about the \ in format strings: