I was going to post a question... but now I'm preemptively posting an answer for anyone who runs into this situation.
I made a new form in SharePoint 2013 with a userprofile data lookup, and wanted to convert said lookup to a data connection file in a data connection library.
when I attempted to do the convert, InfoPath 2013 says "the specified location is not a data connection library. Choose a data connection library on a server running Microsoft SharePoint Server and specify a valid filename"
I was doing my test with InfoPath running on the test server... so all work is being done on that one server box.
This rung a bell to me as "something that doesn't work when you are building stuff while actually on the server you're talking to"
I realized I had InfoPath 2013 on my personal computer, so I quick tried to do this from there... and the convert worked.
I found an article that basically says to do your work on the server, you need to turn on the "Desktop Experience" on the server you're working on.
I'm going to try that now...but pretty sure that's a fix I remember doing before.
Again...just a note for those who may run into the same issue.