[SalesForce] Open LWC as a full page without salesforce header

Instead of going at it the way you've done, consider blocking it with a trigger:

trigger CheckValidLeadConvert on Lead (after update) {
  for(Integer index = 0, size = Trigger.new.size(); index < size; index++) {
    if(!Trigger.old[index].IsConverted && Trigger.new[index].IsConverted) {
      // Check for whatever conditions you like
      Trigger.new[index].addError('You cannot convert this lead because blah blah blah...');
    }
  }
}

You may also be able to use validation rules as well, since they now also run on lead conversion. I realize that this is slightly less ideal than aborting early, but using a trigger will prevent a lead from being converted incorrectly in any means, including Apex Code, Visualforce, Lightning, API, and Classic.

You can have single component by below logic:

JS:

doInit: function(component, evt, helper) {
    component.find('overlayLib').showCustomModal({
        header: "Application Confirmation",
        body: component.find("modalContent"),
        showCloseButton: true,
        cssClass: "mymodal",
        closeCallback: function() {
            alert('You closed the alert!');
        }
    })
}

.cmp file:

<aura:handler name="init" value="{!this}" action="{!c.doInit}" />
<lightning:overlayLibrary aura:id="overlayLib"/>

<div class="slds-hide">
    <div aura:id="modalContent">
        This is modal content
    </div>
</div>

In the same way you can have Footer also in same component.