The only way to be able to change the workitem from a task to a bug is the following way:
- Within Visual Studio, right-click on your workitem and select "Create Copy of Work Item..."
- The following dialog window will pop up where you can then change the work item type:
- A new work item will then be created and your old one (the task) will have a reference to it in the "Links" tab:
This way is quite uncomfortable, but I guess they've chosen this kind of implementation for always keeping track of any kind of action that is going on any work item. Although they could have just put a reference into the work item history as it is done for changes on any work item other fields.