When running dos2unix on a file I get the following printed to the terminal
dos2unix: converting file <filename> to UNIX format ...
dos2unix can output to stdout which then can be redirected independently from stderr. Consider
cat blados | dos2unix > blaunix. You would still see the diagnostics (which may contain error messages!), but the result of the processing will go to blaunix.
If both the data and the diagnostics were on the same output stream they could not be separated. To accept input from stdin and write output to stdout is a common pattern in unix commands, and separating diagnostics to stderr therefore essential.
It's less common though to print diagnostics at all in case of success -- probably a little adaption to DOS users.