A bump map and a normal man can be displayed in the Direct3D view only.
A ball in the material property, OpenGL/software view and
Menu > File > Rendering] cannot display it.

[Convert to normal map] can be applied to a 8-bit (256 colors) monochrome image only.
A monochrome image is used as a bump map, and the other is used as a normal map.

Maybe I need to upgrade direct X? Please see attatched

Maybe DirectX9 is installed.

When you choose Direct3D in the button, bump and normal maps will be displayed.
However, they cannot be displayed if you use an old PC that does not support Pixel Shader 2.0.

And [Menu > View > Show precisely] must be checked to display bump/normal maps.

After some investigation I have direct X 10.1 and shader 4.1. I have checked all your suggestions.