Ther is a big difference.
Dialogue is between two persons. Most part of the dialogue includes Questions and answers, requests and information. Dialogue is a conversational exchange between two people. Dialogue is for purpose.
Conversation is talking between two or more persons. In talking you can say everything, even you can joke, you can tell a story, you can laugh. Conversation is informal interchange of thoughts, information, etc., by spoken words; oral communication between persons; talk; colloquy.
Conversation is interactive, more-or-less spontaneous, communication between two or more conversants. Interactivity occurs because contributions to a conversation are response reactions to what has previously been said. Spontaneity occurs because a conversation must proceed, to some extent, and in some way, unpredictably.