I have to "Process Database" in SSMS (not just the calculation group) to get it working. This process all the tables in the data model. This can take a long time, i'm sure there must be a way of processing the particular calculation group.
If you just do a ProcessRecalc at the database level this should work and should not take too much time as a recalc will not fetch any data from the data sources it will just re-calc any calculated columns/tables and calc groups.
Second problem is that "Format String" property does not seem to do anything. I've tried "0.00%" for example which Marco Russo uses in his online articles. Doesn't seem to do a thing.
Did you include the quote characters in your expression? In calculation groups there is no FormatString property it is actually a FormatStringExpression so the value you use needs to be a valid DAX expression. So it could be "0.00%"
but it cannot just be 0.00%
(you can have any DAX logic you like in a FormatStringExpression include IF or SWITCH statements)