Well, the Magi probably came from Babylonia which was under control of the Persian Parthians at the time, and in fact there may have been great irony in coming to Bethlehem to worship the new born king. Herod claims ignorance of the star that the Magi speak of because Judaea was against the astrology practices of the Near East, and the star of bethlehem was probably a conjuction of some prominent planets and stars, which was not very prominent, but observable to the magi living in Babylon. The irony would be that this conjuction of Jupiter happened in the constellation of Aries, which was associated with the the country of Judaea. Now the irony is that these magi are from Babylon that once subjected the Judaeans, and now it comes full circle as the magi representing the East comes to bow before the King of the Jews! Now the three gifts symbolizes three of Jesus’ role as king (gold), prophet (myrrh), and priest (frankincese). The question of whether they converted or not is something we will probably not know for certain. If the magi were really wise, I am sure they would have known that this is the son of the Most High, and embrace the God of the Jews.