An example with Euler characteristic 2 and simply connected faces, matching convex polyhedra:
Start with a tetrahedron. Drill a triangular hole into it, tapering to a point within the body of the original tetrahedron. The view from the direction of the removed vertex is given below; the hole is indicated by the light blue faces. (Yes, I wanted to make the hole regular, but lack of sufficient drawing options on my device forced me to compromise.)
The figure has seven faces, seven vertices, and twelve edges, thus Euler characteristic 2. With these vertex and edge counts there are nine diagonals; six of these are on the quadrangular faces and the remaining three run below the hole from the concave vertex to the basal ones.
In three dimensions a sufficient condition for convexity is to consider all connections between points on the edges of the polyhedron. In the example given here, all vertex-to-vertex connection lie on or inside the polyhedron; but a connection between the midpoints of two different boundaries of the shaded region (the hole) would pass over the hole and outside the polyhedron. Similarly segments between edges of the hole in Robert Israel's hollow prism can be drawn inside the hole and not in the polyhedron.
Another condition for convexity in three dimensions, which lends itself more readily to finite computation, involves the triangular regions defined by sets of three vertices. If all such regions lie on or inside the polyhedron, then the polyhedron is convex; but in both this example and Robert Israel's there are clearly triangular regions that cover the holes and thus go outside the polyhedron proper.