It may be documented that way on the link provided, but documentation isn't always right. I would take the compiler's word for it more so than documentation. In any case, it doesn't seem that the MeshCollider component is by default exposed to the user. I haven't done this myself, but most likely what you'll have to do is ( in c#):

for ( var i = 0; i < Selection.gameObjects.length; i++ )
{
     MeshCollider selectedCollider = Selection.gameObjects[i].GetComponent<MeshCollider>();
     selectedCollider.convex = true;
}

If you're using C# and are using MonoDevelop, Intellisense shows that collider does not inherit the member variable convex. Typically when you're programming environment tells you that a variable or component isn't exposed to you through Intellisense, it's usually right and not the documentation.

I haven't tested my code, but in theory it should do the trick.

EDIT: Also please use the insert code button, it would be very helpful in the future to read your code easier, no matter how short or long it may be.