Convection requires the hot air just above your soup that has been heated up to rise as its density reduces after being heated, allowing the colder air around the rising hotter air to replace the hotter air and the same thing will happen again. As the convection currents (the rising of the hot air and the sinking of the cold air) keep taking place just above your soup, the previously hot soup will start to lose thermal energy (heat) and your soup will cool down despite the fact that air is a poor conductor of heat. In other words, cooling of your soup only takes place in convection due to the movement of air and not the heating up of air itself. As a result, if air was a good conductor of heat, it would not make a difference.
Hope this helps.
