Most likely… It looks like you have a single b-zero volume in your dataset. What does mrinfo report for your image?
I notice the data states that it’s been anonymised. That process will often strip out non-standard DICOM tags from the image headers, which can be a problem if the DW gradient information is stored in those fields. Not sure whether that is the problem, but I wouldn’t be surprised.
For the mrconvert command failing, this is because the series you’ve selected (0) corresponds to the T1, not the diffusion - there is no gradient information for these data. You need to select the second series (number 1).