It looks like as of this writing, the PuTTY Gen conversion code only accepts keys that use the AES-128-CBC
or DES-EDE3-CBC
ciphers. Otherwise, it will complain with a "unsupported cipher" error. (The latest release version at the moment is beta 0.67.)
For example, one of my private keys was using AES-256-CBC:
-----BEGIN RSA PRIVATE KEY-----
Proc-Type: 4,ENCRYPTED
DEK-Info: AES-256-CBC,xxxxxxx