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When you create a linked measure group into a cube, the cube you are creating inherits properties of original measures by copying values into the new cube. If you change the format string into the original cube, you don't modify automatically the linked measure. This is good.
Unfortunately, if you want to update or change the format string of the linked measure, you can't by Cube Editor. You have to manually edit the cube file, modifying the FormatString element value into XML by hand.
I forwarded a feedback on this, vote it if you agree it's a useful feature.
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About Marco Russo (SQLBI)
Marco Russo is a consultant, writer and trainer specialized in Business Intelligence with Microsoft technologies. He runs the SQLBI.COM website, which is dedicated to distribute resources useful for BI developers, like Integration Services components, Analysis Services models, tools, technical information and so on. Marco is certified as MCT, MCDBA, MCSD.NET, MCSA, MCSE+I.