Here's an easier way to think of a convex hull. My apologies to whomever I stole this explanation from.
When you select "convex hull", imagine that your object is covered in wax paper that you use to wrap up cold cuts. What gets exported to the game is the shape of the wax paper, and your object is thrown away. So, if your object is a pound cake, it doesn't matter that there's a hole in it because the wax paper doesn't go into holes. It just covers up the whole cake.