If the thousands separator does not appear, then your'll need to set if the DefaultFormatSettings.DecimalSeparator value.
I've done it like this (since I didn't find a reliable other method):

if DefaultFormatSettings.DecimalSeparator='.' then
  DefaultFormatSettings.ThousandSeparator:=','
else
  DefaultFormatSettings.ThousandSeparator:='.';

What is the situation?
I have a file size (using the FileUtils.FileSize('filename') function in bytes (Int64).
However I'd like to display that with the thousands separator, so for example 1234567890 becomes 1,234,567,890.

the default functions didn't like the fact that I passed it an Integer (why would this even be a problem?) and the documentation of the Format function (here and here) are kind-a crappy ... (I can't complain, since I'm not updating the Wiki page either)

Anyhoo, the fix:

var
  FileSizeInBytes:int64;
...
  Label1.Caption := Format('%.0N',);
...

To make the Integer (int64) a float, I add 0.1 and next subtract 0.1. To format the new "float" without numbers behind the decimal point (.0) and have it use thousands separators (N), use the "%.0N" format placeholder.