I want to download my whole chat conversations in Facebook, including the attached pictures and videos, is that possible?
The option in Settings does not include the chat it seems...
I don't believe the archive Facebook gives retrieves all of this information. You can try using the Facebook API to retrieve anything further, though that is beyond the scope of this site
See developers.facebook.com for more info, specifically https://developers.facebook.com/docs/graph-api/reference/v2.3/user/inbox