The FBX Importer does not have an Axis Conversion option in the UI. Only the FBX Export window has this option exposed in the UI.
This is because the Maya FBX Plug-in calculates and applies the Axis Conversion automatically upon import.
The FBX 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 FBX Import window 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.
The importer applies Axis Conversions only to root elements of the incoming scene. If you have animation on a root object that must be converted on import, these animation curves are resampled to apply the proper axis conversion.