Can someone tell me where AC to DC conversion happens in this type of LED light ? This is retrofit LED light which fits into can which has AC current. How and where does it step down voltage and also convert current from AC to DC ?
The voltage conversion (if nessessary) is done inside the lamp housing that you pictured. This type of retrofit lamp is designed to fit into existing recessed cans that are designed to take a reflector bulb with a standard base. If you disconnect the orange connector and screw the base adapter into a bulb socket, a voltage meter will show 120v AC at the orange connector.
There are some cans that are designed to work with this type of bulb/bezel combo and supply the orange connector inside the can instead of a screw-in light bulb base.