If you're getting the convoy reports with the grid, speed and heading in the dialog box at the bottom of the screen, these are indeed convoys you can go after in game. If you're getting them via "New Radio Message Recieved" and pressing "M" to go to your radio message screen, then those are for atmosphere and flavor and are not actually in the SH3 world (but they were historically there in real life!)
If you're having trouble intercepting ships or convoys when you see them on your F5 nav map, then I'd recommend Dannetoc's intercept course tutorial. It works like a charm. That would be found here:
http://www.subsim.com/radioroom/showthread.php?t=88961