Activities should be in the Closed Activities list when you have Opportunities set to "Regarding Entities". If they're not, that's definitely it's own issue.
Notes DO NOT copy from record to record. For notes, there are a few things you can do:
1. don't use Notes for items that need to pass from record to record.
2. Teach users to use the "Originating Lead" button to look at Notes older Notes still on the Lead.
3. Write a plugin that copies all the notes from th eLead to the Opportunity during the conversion process.
My order of preference is the first, and then the third.
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