Whatever you choose, the thousands separator stays the same (being ",") ...
When overwriting the number_format function in the Currency class everything works fine so it must be that the values are not proparly passed to the instance.
I've checked this on the demo site and successfully replicated the issue by setting thousands separator to "-".
I'll look into it and get a patch out ASAP. Thanks for the report
Edit: Fixed in 1.3.10