I am having the exact problem - can't find anyway around this.
First MW, I'm sorry for not responding sooner (I didn't see your post until James posted). A couple of things:
As you've noted already, since Sketch artwork is already expanded when it gets to Illustrator all of those options to expand and expand to paths are unavailable. My understanding is that there's no way around this but perhaps someone with more Illustrator experience will post a response.
As you mentioned, stroked paths vs. filled paths is a common feature request (especially for Draw art) and It's something the drawing teams are looking into implementing. At this point, I just don't know whether (or when) that might happen.
I'm sorry I don't have more information to share.
I am also having the same problem with Sketch and Illustrator, and it seems like people have had success using this feature using Adobe Line and older versions of Illustrator. The feature to expand Line and Sketch is still in the CC2017 version of Illustrator so it seems like it should work. I've tried deleting anything but sketch layers, using only pencil and pen tools, and selecting brushes marked "Adobe Line" (these are the bottom options on the default brush menu). I'm out of ideas but I'm hopeful someone on here knows how to do this. Both app and software are up to date.
Why did they take this feature away!!!! Please bring it back!!!