Images in Scribus are linked, so if you really want to convert the images you're better of doing it outside Scribus. As long as the file names are not changed Scribus will read the CMYK images the next time you open the document.
BUT, I really think that what you want to do is chose output for "Printer" (which will create a CMYK PDF). Output for "Screen/web creates an RGB PDF.
Note that conversion from RGB to CMYK always need a color profile, thus you should use a profile provided by your printer.