Nice question but an easy one.
When I installed my SQL Server 2012 Express , I have discovered this way to format a number in the BOL and I have tested it ( and dug in my memory ) , so I have had only to dig it up.
It is important to remember what it is difficult to use it remotely ( CLR... ) what is written in the BOL
"This function will not be remoted since it depends on the presence of the CLR. Remoting a function that requires the CLR would cause an error on the remote server."
Useful feature but with some limit...