The FBX Importer does not have an Axis Conversion option in the UI. Only Exporters have this option exposed in the UI.
This is because the Maya FBX Plug-in calculates and applies the Axis Conversion automatically upon import.
What does the automatic conversion do?
The importer looks at the up-axis used in the host application. It then compares this to the up-axis set in the incoming file. If both up-axes match, the importer applies no conversion. If they do not match, the importer applies a conversion to the imported data to match the host application’s up-axis automatically.