Convection is the heat transfer due to bulk movement of molecules within fluids.
In heating of water, water at lower depth start heating then heated water tries to come up and bulk movement of hot water and cold water takes place inside whole container, and by this whole water heats up.
A sea breeze is any wind that blows from a large body of water toward or onto a landmass. It develops due to differences in air pressure created by the differing heat capacities of water and dry land.
By contrast, a land breeze is the reverse effect: dry land also cools more quickly than water and, after sunset, a sea breeze dissipates and the wind instead flows from the land towards the sea.