Many styles of convection ovens do include the cool-down feature, but it's not necessarily standard on all ovens. If the cool-down feature is important to you, look only at models that offer it.
As with any oven, the temperature inside can remain high, even after you turn the oven off. The cool-down feature in a convection oven will allow the fans to continue running, even though the heating element is off. You must keep the oven door open slightly. The fans will blow the hot air into the room to cool the oven off.
The main reason to use the cool-down feature is to quickly decrease the oven temperature to cook another recipe that requires a lower temperature. You may also want to take advantage of the oven's heat to warm your home in winter months.
For the average home user, the cool-down feature is not a necessity. Professional cooks, caterers or those who frequently entertain, however, may find that the feature is extremely helpful.