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Those aren't royal convoys, those are naval convoys. The R on the icon stands for Real, which is the currency, not royal. They're basically just ships with money. Royal convoys you have to run into, and the icons will be blue, like the white whales and social chests.
I'm online, have friends with the game, and have put dozens of hours into sea travel. Not one royal convoy or white whale, only a few social chests. I'm starting to fear it's some sort of bug and I'll never get the last trophy. :(
I can't find on my own, and the ones my friends find wont show up for me either... All my online options are set to "on." This is defiantly annoying.... It shows I'm connected... I can do the fleet mini game, and play multiplayer. I was even alerted about the community challenge to plunder like 2mill ships. This is giving me a headache... =@