So, what are JKS and PFX files and why would we want to convert PFX to JKS?
If you're working in Java then the JKS (Java Key Store) is a logically expected place to store private keys. Java applications typically expect to get the keys from JKS, since Java offers ways for easy JKS management. JKS is not easily accessible from outside Java, though.
PFX (PKCS#12) files, on the other hand, are not language-dependent way to store encrypted private keys and certificates, and it has been around long enough so it's widely supported.