pcl/conversions.h is part of PCL, but you need PCL version 1.7 to build against this.
There is a hydro package for PCL 1.7.0-rc2 called ros-hydro-pcl. If you install/upgrade that package (sudo apt-get install ros-hydro-pcl) it should fix your problem.
The pcl_conversions package, which the gazebo_ros_pkgs depends on now has a versioned dependency on PCL, so this shouldn't happen in the future: