Format String Expression for Calculation Group not working with Measures on Thin Report

Background:  I have a "golden" dataset that has a time intelligence calculation group/item that does % Month Over Month. It has a 'Format String Expression'  to format measures as a % (see screenshot # 1 below). When I use the calculation group in a visual in the 'golden' dataset all works as expected (see screenshot # 2 below).

Issue:  However, when I connect to the 'Golden' dataset via direct query from a 'Thin' report, and write a local measure in the 'Thin' report, the % formatting does not come through from the calculation group/item (see screenshot # 3 below).