Hello this is my mesh collider
And when i check Convex it makes this
Because your mesh is a concave mesh and you are setting it to be convex mesh so Unity generates convex colliders based off the shape of your mesh (your image 2).
Read: Convex and concave polygons for more details.
The problem is better explained in the video from this thread Concave Collider - Generate compound colliders with one click!. It is a forum thread for an asset that allows for concave mesh colliders.
This post states the same problem.
I guess the physics engine can’t figure out if your mesh is convex, since its not volumetric. Give it a height and I bet it works.