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.