The sublevel sets of a convex function are convex. The shaded region is the intersection of a sublevel set with a convex set; it is not convex, therefore the sublevel set is not convex, therefore the function is not convex.
The sublevel sets of a convex function are convex. The shaded region is the intersection of a sublevel set with a convex set; it is not convex, therefore the sublevel set is not convex, therefore the function is not convex.