If one of the goods is not beneficial and the other is then the slope of the indifference curve will be positive and hence the MRS negative. This is becuase
$$
MRS(x,y) = - \frac{MU_x(x,y)}{MU_y(x,y)},
$$
and if $x$ is beneficial then its marginal utility, $MU_x(x,y)$ is positive, whereas if $y$ is not beneficial then its marginal utility will be non-positive. (Zero if it is a neutral good.)
As @Oliv stated this has nothing to do with convexity.
An example: Let (y,t) denote the amount of money you have and the time it takes for you to get to work/school. You probably enjoy having as much money as possible. Because the same thing goes for free time you probably want to minimize the length of your commute. Two utility functions that could represent your preferences:
$$
U_1(y,t) = y^2 - t \hskip 20pt U_2(y,t) = \sqrt{y} - t.
$$
Money is beneficial in both of these and travel time is not. But one represents convex preferences and the other concave.