This means that if you have this set to true, your mesh collider wont have holes or entrances.
Convex meshes can collide with other convex colliders and non-convex meshes.
Thus convex mesh colliders are suitable on rigidibodies,
if you really need more detailed colliders than what the primitive colliders provide you with.
Note: A convex mesh is required by the physics engine to have a non-zero volume. Flat meshes such as quads or planes that are marked as convex will be modified by the physics engine to have a thickness (and therefore a volume) to satisfy this requirement. The thickness of the resulting mesh is proportional to its size and can be up to 0.05 of its longest dimension in the plane of the mesh.