KMZ is simply a zipped KML, and it is what Google Earth actually exports - the zip lets one file carry its images and icons alongside the geometry. The geometry converts; the artwork inside does not, and the result says how many pieces were left behind.
Every conversion below runs in this page, on your own machine. Nothing is uploaded, there is no queue, and there is no account to make. Pick a target format, or just drop a KMZ file above and choose afterwards.