In addition to the points made by Starr.C, in particular the fact that converting an audio file creates a duplicate song in your iTunes Library, note that MPEG is a general term that applies to both Apple's m4a and an MP3 file, so perhaps you haven't spotted that the MP3 file is there after all.
Look at the screenshots below, the first two are one song, while screenshots three and four are a separate song. Note the difference between MPEG-4 and MPEG-3:


While the MP3 is:


Another thing to note is that in order to convert to an MP3, the original file has to be DRM-free (in other words, not a protected song). For a while, the iTunes store sold songs in a protected form, meaning that they cannot be converted. (Don't blame Apple for that, I suspect the music industry was repsonsible for it.) It should be obvious if any of your iTunes purchases are still DRM files.
The final point to note (which you may already be aware of) is that in order for iTunes to convert the file to MP3, you need to set the CD Import Setting to MP3. I know - it's not very intuitive, but that is what has to happen. I assume that your iTunes is already set to import CDs as MP3s because if it wasn't, you would not see Create MP3 version on the File/Convert menu.