Yes that's funny. Wavelab, Goldwave, CoolEdit they all can't do it.
Nero has a plug in to let you burn it but not convert it.
Who can do it? good ol' WinAmp! My version 2.6 does it other versions should too.
Open Options, Preferences, Output. Choose Nullsoft Disk Writer plug-in, click Configure to appoint a destination.
Now you open the WMA and play it. You won't hear the sound, instead it will write a wave file to the destination.
When you finished don't forget to return it to the default WaveOut plugin.