Being "convex" means that if you pick any 2 points within the polygon and connect them with a straight line, the line never goes outside the polygon. Triangles, squares, and circles are all convex. The letter "E" (as a polygon) is not convex.
This is legal:
POLYSTART
REPEAT 4 [FORWARD 150 RIGHT 90] ; a square is convex
POLYEND
This is NOT legal:
POLYSTART
REPEAT 3 [
FORWARD 150
RIGHT 90
]
FORWARD 50
RIGHT 90 ; error: these instruction
FORWARD 50 ; add a cavity to the
LEFT 90 ; polygon
FORWARD 50 ;
LEFT 90 ;
FORWARD 50 ;
RIGHT 90 ;
FORWARD 50
RIGHT 90
POLYEND
You can always break a convex polygon up into simpler concave polygons.