In all likelihood and situation permitting, a situation report would be sent to BdU with your recommendations and new orders or repeat of your patrol orders would probably follow. Unfortunately SH3 does not allow this sort of interaction so you're on your own. In the meantime, you cannot go far wrong by shadowing and sending off a contact report to see what the game offers up in the way of a response. If you get something like "Be More Aggressive", you have your answer.
I would disagree that a convoy represents a target of opportunity since attacking one generally takes time and fuel, there were instances (as related in Blair and others) where boats were called off convoys to perform duties that had higher priority for U-Boat Command. For a single ship, sink it, sail on and enjoy...
In December '39, there were only a handful of U-Boats at sea and although the game randomizes patrol grids rather aimlessly, the Operations Section sent boats to their objectives with specific aims in mind and to achieve certain goals. In reality they would not have sent a boat to CG11 on a whim so there would have been some goal that they expected you to accomplish there.
From an immersion standpoint, only you can judge what seems "real" for you; SH3 will never penalize you for expending your torpedoes on a convoy but real life might have had somewhat different results. Particularly if your presence in CG11 was required by some big-picture mission authorized way above your pay grade like at OKM where Doenitz' bosses ruled.
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