While it is possible to convert with the services running, it is normally recommended to turn off as many services as possible to reduce data corruption and such.
That said I did similar to what you're attempting with my Exchange 2000 server, which is also a DC. (I created a dev network of my servers.) I did the conversion after hours, so no users connected. I was successful with converting with the Exchange services still enabled because there were no users logged on. But I did have to restore Active Directory as I had trouble logging on afterward. So Exchange converted ok, but AD got corrupted. Later conversions work fine for both Exchange and AD sometimes, but not all the time.
