A single username or comma delimited set of usernames is fine.
Is it possible that one of the users that you are using has disabled the "Display in members lists" setting under Settings > Advanced options? It looks like there is a bug in the query used by that code - it should include "hidden" users when converting from the usernames passed in to the users to include in the conversation but it is not. So if one of the users you are trying to create a conversation with has that setting disabled then you will get the message that you're getting.
If you are just testing the APIs then you can try re-enabling that setting for the user. If this is hampering production or custom functionality then you can contact our Support team about submitting this bug to be fixed in a hotfix.