Convert will be shown there only if you're editing a file in "compatibility
mode".
Try this. Create a new document, then choose Office - Save As - Word 97-2003
document.
Now, click the Office button. Convert should now appear. Once you've clicked
Convert (which isn't the only way to convert, by the way) and have converted
it into a .docx (Word 2007) file, Convert will now disappear from the Office
"menu".