Helmi

Hi Frank,
Welcome to Affinity Forums :)
You can convert the line's stroke directly to a shape going to menu Layer ▸ Expand Stroke. Isn't that what you are looking for?

You can use the Pen tool to draw the shapes and then convert them to a selection pressing the Selection button on the context toolbar. However there's no need to convert them. You can group the shapes and simple apply a Live Blur filter to the group. To do this, select the group layer and click on the Live Filters icon on the bottom of the Layers panel, then select an appropriate blur filter. Since those are real-time filters you can edit their properties anytime double-clicking their thumbnail in the Layers panel.
 
Here's Affinity Photo's roadmap for the next months.

Hi Helmi,
Welcome to Affinity Forums :)
You're not alone in this request. Currently there's no way to work around this. The Free hand selection tool will be improved later with new functionality.