Hi, and thanks for using the forum!
In the Convective Heat Transfer simulation, you will be analyzing the fluid only, thus you need to delete all the solid parts.
In the Heat Transfer simulation, you will be analyzing only the solids, thus you can not have the fluid region.
If you want to analyze the conduction in the solids and the convection in the fluid at the same time, then you should perform a Conjugate Heat Transfer simulation.