I guess you're just pretty unlucky with Space Harrier.
The main problem here is the SegaPCM sound chip. vgm2mid is currently hardcoded to the sample offsets of OutRun and executes a "Stop" statement when it finds an unknown sample offset. (Sorry, the stop statement was originally meant for debugging and I forgot about it, thus it was accidentally left it in the code.)
If you are okay with just the FM notes, you can use
Code:
vgm_ptch.exe -Strip:SegaPCM "11 Lake Side Memory Ending.vgz"
to remove the SegaPCM part. vgm2mid should be able to convert it then.
The GUI-based vgm2mid tool (version from 2013-09-09) should still be the most-complete of all tools that convert VGMs to MIDI files.
I don't think any of the other tools can convert more than SN76489 (PSG) and maybe YM2413.