Position of centroids after convolution
The reason is g1 is not a complete Gaussian pdf since you limited the range to not extend past 0.

The following will work for you:

W=[-2500:1:2500];
g1= normpdf(W, 500, 100);
g2= normpdf(W, 0, 100);  
ConvG1G2 = conv(g1,g2, "same");
plot(g1)
hold on
plot(g2)
plot(ConvG1G2)


Results in: