I just tried and it worked correctly for me.

The problem must be with some field the conversion needs.

I had a look at the code and it says that the “Convert Lead” action will be visible when all these conditions are met:

• the user has edit permission on Accounts, Contacts and Leads
• the user must have conversion tool permission in his profile (see image below)
• Accounts and Contacts modules are active
• the Lead hasn't been converted previously
• the field “Company” on the lead is not empty