I don't think anybody is suggesting that you should not change your sexuality, if you want. The reason that conversion therapy has been banned in the professional organisations is that it has been found in practice to be homophobic, and also often offered bizarre explanations for being gay. In the UK, the Pilkington case caused waves, as Ms Pilkington was offering the idea that being abused as a child made you gay. She was struck off, and all organizations termed it unethical. But it's not illegal, although I think it should be for minors.
But many therapists will help people explore their sexuality, but without a negative view of one particular identity. Most of the conversion people I have heard of are right-wing Christians, who view gay as sinful - not really a helpful therapeutic stance.