James Prescott Joule demonstrated that work could generate heat using his churn. In order to truly demonstrate that energy is conserved, the next logical step would have been to convert that heat entirely back to work. why was this not done?

Heat can be converted into work as that is the principle on which steam turbines work and generate electricity. But in order to achieve the result we need to modify the apparatus in such a way that heat is extracted from the fluid whose temperature increases due to churning. This requires a modified setup which is different from the one used by Joule. The relationship that work can be converted into heat and vice versa both requires different apparatus to be accomplished as a machine can act as either as one that does work or one on which work can be done.