Short answer, CONVERT doesn't do anything but convert the data type. It does not alter the display in any way.
You should do that in your application. if you can't do it in your app (like when using Crystal Reports), you could format it your self like:
Code:
select convert(month(curdate()),SQL_CHAR) + '/' + convert(day(curdate()),SQL_CHAR) + '/' + convert(year(curdate()),SQL_CHAR)
Don't forget to convert it back to YYYY-MM-DD before using it in a restriction or an INSERT/UPDATE statement.