In this paper, we study the functional given by the integral of the mean curvature of a convex set with Gaussian weight with Gaussian volume constraint. It was conjectured that the ball centred at the origin is the only minimizer of such a functional for certain values of the mass. We prove that this is the case in dimension 2 while in higher dimension the situation is different. In fact, for small values of mass, the ball centred at the origin is a local minimizer, while for larger values the ball is a maximizer among convex sets with a uniform bound on the curvature.