When a Lead is Converted to an Opportunity it is not associated automatically with an Opportunity workflow, it needs to be progressed using the default "Accept/Reject" action buttons.

More Information:

If you have more than one workflow rule for an entity you can create an "Accept" rule on your custom workflow that starts the Opportuinity on that custom workflow.

When the user clicks that button the Opportunity will start on the custom workflow and you can add an action to that rule to set the Opportunity Stage to be whatever you want it to be.

You can also use the Javascript condition field on the rule to restrict who can see each of the “Accept” workflow buttons: