It is well-known that if $K$ is a convex set of $B(H)$, then the weak operator closure of $K$ equals to the strong operator closure of $K$. [see e.g. Conway Chapter IX, Cor 5.2, A course in Functional analysis]
However, let $U$ be a shift operator on $H=\ell^2$ and $K=conv\{U^k, k\in \mathbb{N}\}$. Consider the WOT closure and SOT closure of $K$. It is clear that $0\in \bar{K}^{wo}$ as $U^k \rightarrow_{wo} 0$. But I don't know how to construct a net of $K$ tending to $0$ in SOT.