Sorry but you took out $35K but only $31K made it to the ROTH ... the $4000 withheld for taxes is considered a taxable distribution AND it is subject to taxes and the penalty.
To make the conversion complete you either has to NOT have any withholding OR you had to add $4000 out of your pocket to move to the ROTH to make up for the amount withheld. (FYI ... the withholding was done probably because you touched the check ... if this was a trustee to trustee conversion no withholding would have been needed). And it is now TOO LATE to make up the missing amount since the 60 day window has closed.
