I came here to reply in case anyone else is looking for the solution.
This can't be done using the online version. You need to download and install Convert-It
Here are steps
Create a OutputKaraoke folder that will contain the video files of converted karaoke files.
Create a SourceKaraoke folder that will contain all your MP3+G song folders.
Unzip all your zipped MP3+G song files into individual subfolders under the SourceKaraoke folder (each folder contains one CDG and MP3 file)
Run Convert-It Video Converter
select "Convert files in a folder and sub folders"
select "Put into single folder."
Click Next button
Convert-It will ask for the location of your source files.
Navigate to the location of your SourceKaraoke folder and click OK
Select "CDG" as the type of source files that you would like to convert and click the Next button.
Select the "Output Format" as MP4. Leave the other values as the defaults. Click the Next button
For output video transform and filter settings leave all the values as the defaults. Click the Next button.
For the quality settings leave all the values as the defaults. Click the Next button.
Convert-It will ask for the location of your Output Karaoke folder
Navigate to the location of your OutputKaraoke folder and click OK
A summary window will display your choices. Click the Start button to begin the conversion process.
When completed a window will display the results of the conversion process.
Note: Windows media player won't play the converted MP4 files but VLC worked just fine.