Version Used:
Verified in VS 16.7.0 Preview 3.1
Steps to Reproduce:

Ctrl+. on "new" -> "Convert to class" in the following fragment

            var t1 = new
            {
                // Hi.
                a = 1,
                b = 2
            };

Expected Behavior:

            var t1 = new NewClass(
                // Hi.
                1,
                2);

Actual Behavior:

            var t1 = new NewClass(
1,
2
            );

Note the lost comment. Preserving leading trivia from the initializers should help with indentation as well.
Regarding the whitespace after "2", note that the current behavior is similar to what happens in "Convert to tuple":

            var t1 = (
                // Hi.
                a: 1,
                b: 2
            );

As you can see, indentation and comment are preserved, but the ugly whitespace after "2" remains.
I believe that having the closing parenthesis on the same line corresponds to the common style expected by users (as does having closing curly bracket on a separate line).