Probably because that hair appears to be an old CC1.5 hair asset. I forgot they even exist :)
For those types you may still use "Create Hair, Brows Beard" and select Accessory type for conversion (that sort of convert to modern asset type - ready to be hair or accessory).
And then the "Convert to Accessory" button should be available to actually convert it to accessory.
Update:
After digging a bit deeper...
Those afro hair was probably a unique creation of RL, which had embedded spring bones.
That is why there is a fail safe for converting to accessory.
In case you need to convert to prop and at the same time preserve spring bones structure for interactive hair, you would have to export character to FBX,
then import to Blender, strip everything but the hair and spring bones and import back to 3DX. Then activate spring bones again.