Planes have zero volume, so it can't really be wrapped in a convex since it wouldn't know how thick to make it.
Alternatives are to manually have collision setup for import, add a box collision via the static mesh editor, or use per-poly collision for the mesh.
Single Planes do not generate collision on import or with the Convex Decomposition window.
Workaround: box Collision can be added via the Collision > Add Box Simplified Collision.
I checked as far back as 4.13.3 and this doesn't look like a regression. The collision is not generated in any build of the engine for planes no matter the tri count or size.
1. Import the attached asset or any single plane FBX, or use the EditorPlane from Engine Content folder.
2. In the import options leave these as default.
3. Open the imported static mesh and enable the Collision toolbar button
4. Use the Convex Decomposition window to apply collision
Restuls: Collision is not auto-generated from Import Options or by using the Convex Decomposition window
Head over to the existing Questions & Answers thread and let us know what's up.