Preventing replication of alter table command to change engine
If you want to prevent any ALTER TABLE ... ENGINE=InnoDB; from executing on a Slave, just run this on the Master:

SET SQL_LOG_BIN=0;
ALTER TABLE ... ENGINE=InnoDB;
SET SQL_LOG_BIN=1;


What this does is prevent the Master from recording the ALTER TABLE ... ENGINE=InnoDB; in its binary logs. Since the Slave only replicates from the binary logs of the Master, just don't record the commands that you do not want replicated.

If you have multiple tables to convert and not replicate, then you can do this:

SET SQL_LOG_BIN=0;
ALTER TABLE ... ENGINE=InnoDB;
ALTER TABLE ... ENGINE=InnoDB;
.
.
.
ALTER TABLE ... ENGINE=InnoDB;
SET SQL_LOG_BIN=1;