I don't think that's correct.

I have previously been advised that attacking a unit effectively changes its orders to 'hold', because it has to spend its turn defending itself. So this breaks the convoy. No?

Akroma is correct. Here is a quote from p12 of the 2000 Rulebook:

Disrupting a Convoy
• Dislodgment of a fleet in a convoy causes the convoy to fail.
If a Fleet ordered to convoy is dislodged during the turn, the
Army to be convoyed remains in its original province. An attack
on a convoying Fleet, which does not dislodge it, does not
affect the convoy.

@Jamiet99uk, you're are thinking of cutting support, which is a different matter from disrupting a convoy.

Support is cut if the unit giving support is attacked from any province except the one where support is being given. The
support is cut whether this attack on the supporting unit succeeds or not.

The help pages on this site say:

"if a unit is being attacked it has to defend itself by holding, and can't support another unit."

I presume this means it can't convoy, either.

In other words, if the fleet "has to defend itself by holding" then surely its order changes from "convoy" to "hold".

No - the fleet has to be dislodged to prevent it from convoying

i.e England has F Channel, A Bel, A Wales, France has F Brest, F MAO. England orders F Channel Convoy A Wales - Picardy, A Bel Supports A Wales-Picardy.

If France orders F Brest-Pic, F MAO-Channel, then the convoy succeeds, as the fleet in the channel is not dislodged (1 vs 1).

If either fleet supports the other into the Channel, then the Fleet is dislodged, so the convoy fails.

If England had a fleet in North Sea, that could support the Channel to hold, which would agian make the convoy succeed (2 vs 2)

I'm glad that's been clarified - wish I'd known earlier!!

Do people agree that the section in the help pages, which I quoted above, is not very clear on this point?

Unfortunately the help section doesn't cover everything. It's a good idea to read the actual rules. You may find a copy here:
http://www.diplom.org/~diparch/diplomacy_rules.htm

My concern is not about certain things not being mentioned. I'm concerned that what is included in the help is misleading, because it says that units which are attacked must "hold" which is clearly wrong in the case of convoying fleets.

That is not the potentially misleading statement in the help section.
Take this statement for example:

For each supply center you occupy you get a new unit, and you lose a unit whenever a supply center you own gets occupied by someone else.

This is not quite true either, as you must occupy a supply centre in Autumn to take ownership and thus earn an extra unit.

Yes, that's been pointed out before in another recent thread. I hope the mods / kestas will update this when they have time.

Thank you :)

Also, Jamie, if the unit being attacked is, itself attacking (not supporting) then it still attacks. An attack only cuts support. It never stops the attack from happening (as the unit attacking intended to leave the territory anyhow).

In addition, a unit cannot cut support on an attack on itself. In your title example, you said B was attacking the convoy but that convoy (a form of support) is aimed at B, so unless B is supported in the attack and dislodges the convoying unit, it has no effect as the convoying unit would be convoying to that territory anyhow.

I have another doubt:
If army A moves to B, via C convoy, but B supports D moving to C, what happens? C gets dislodged and the convoy never happened or the convoy of A cuts B support and everything bounce?

Exemple:
A Rum - Ank (via convoy)
F Bla Convoys A Rum - Ank
F Con - Bla
F Ank support F Con - Bla

Had to check it in Jdip: C (Black sea) gets dislodged!

Nope, the convoy is disrupted and C is dislodged. The convoy does not add to the support of the attack. To trigger a bounce, C would need support from somewhere else or A would need support into B, cutting it's support of the attack on C. You can get into a paradox with convoys and supports though, just so you know.

You beat me to it. I as just explaining why...

I suggest downloading jDip. It is an adjudication program that will answer any and all questions you have about orders. Just do a search for jDip. It should pop up.