The only way how to create *.vsdm file from a *.vsdx file is to use the latest version of Microsoft Visio and use the File ► Save as.. function to perform this conversion. This will enable any macros and you can add even more to your Visio drawing.
Convert Microsoft Visio drawing to Microsoft Visio 2013 macro-enabled drawing file.
We have found one software suitable in our database for this conversion.
Microsoft Windows software - convert vsdx to vsdm on Windows
A vector based diagramming software from Microsoft
Convert from vsdx file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.