You will need to have a distinct set of ActivityTagID in your PivotColumnHeaders. Try adding the group by ActivityTagID in your query as such:
DECLARE @PivotColumnHeaders VARCHAR(MAX)
SELECT @PivotColumnHeaders =
COALESCE(
@PivotColumnHeaders + ',[' + cast([ActivityTagID] as varchar) + ']',
'[' + cast([ActivityTagID] as varchar)+ ']'
)
FROM dbo.ConversionsTest
GROUP BY ActivityTagID
http://www.ingenioussql.com/2013/02/06/dynamic-t-sql-pivot/
Thanks,
Dave