When inserting a dynamic text field in AutoCAD, the "Additional Format" dialog shows the options "Thousands" (thousands separator character) or "Conversion factor" as inactive, grayed out.
This behavior is related to multi-item property values, e.g. X-Y-Z coordinate of the insertion point, location (.InsertionPoint). Even if you select only one component from this coordinate, e.g. the X value, the supplementary format will not offer all the features available for number type values, i.e. not even the thousands separator or the conversion factor.
The solution is quite simple. First set the separator for another property, a numeric one, e.g. "Unit Factor", "X Scale", "Thickness", "Area", etc. and only after that select the X-component coordinate type property.
Another option is to add the required formatting code (e.g. %th32 for a space as a thousands separator) directly as a text string to the field code and insert the entire field code as text in your DWG drawing.