The Mecanim integration doesn't convert Spine animations into Unity animations.
That process is called "baking" and baking involves a lot of compromises and lost features because Unity's animation system has less features than Spine and uses a different curve scheme.
What SkeletonAnimator uses are dummy animation clips to identify which native Spine.Animations are supposed to be played at runtime. No baking is done.
This preserves all the features of Spine animations (except Spine.Events, which SkeletonAnimator does not capture).
I'm not sure what the "missing Game Object" error is. I also don't see it.
