I just looked at the Help topic on Paths and followed the instructions exactly as you did - I even used the Ball to test it.

What has been published in the Help, and what happens in iClone do in fact not match. It doesn't matter if Avatar or Prop - the option to "Convert Position to Path" is not active in the Menu.

This would appear to be a Bug that needs looking at by the Devs.

I'll add it to the official Bugs thread, with a link to your post.

Sorry that I can't be more helpful.

In the meantime you could try adding a Path and adjusting the points to where you need them.

The issues thread is open for all users to post problems discovered in the product. :)