The Ironclad also does not upgrade, although it should do so.
In Vanilla, the ironclad does not upgrade. In C3C, it does, to a destroyer. In my opinion, it should not. There is no case I am aware of in which an ironclad was used in a destroyer (anti-sub, screen for capital ships) role. The ironclad replaced the frigate as the main naval weapon until the dreadnought era. Dreadnought escorts were purpose-built for the role.
The frigate should upgrade to the cruiser, as you can trace a continuous line of development from the sailing frigate to the scout cruiser of the early 20th Century.
Line of development and continuity of roles, yes; conversion of hulls, no. IMO, no age of sail ship should be upgradeable, except the next one you mention:
The Man-of-War should upgrade to an Ironclad, as several of the last English wooden Ship-of-the-Line were converted to wooden-hulled Ironclads while building.
I agree with this, with the caveat that both a frigate and a Man-of-War should upgrade, and the unit they upgrade to should be a different unit from the purpose-built ironclad. The upgraded unit should be just as slow, but slightly weaker than its purpose-built cousin.
The privateer is a bit harder, as the closest modern equivalent would be the German merchant raiders in WW2, although you did have the Seaadler in WW1, which was a sailing raider. It would be interesting to make a unique unit for Germany by modifying a transport unit to something with the firepower of close to a cruiser.
I don't see much case for the privateer role in the industrial age. I'm not sure there's a case for an up-gunned German transport, either. Commerce raiders (at least in WWII) were not transports, but up-gunned, over-ton cruisers and small battleships - the so-called "pocket battleships". Their uniqueness wasn't so much a question of design as of use.
It is worth noting that diesel subs do not upgrade to nucs, either. Subs are broken in Civ3, anyway, but the first nuc-boats used the surfacing hull configuration of diesel-electrics, and only later switched to the now-common teardrop hull (although no hulls were directly converted from diesel to nuclear, to my knowledge).
