I just found this in the Microsoft Knowledgebase also:

FIX: Can't Give Numeric the Currency Format in Report Writer. In the Report Writer, you cannot format a numeric value with the currency format. If you select the Currency check box, a dollar sign is placed before the number, but the number of digits after the decimal point isn't always going to be two. In FoxPro for Windows, do the following: •Type the following format in the Format box, giving the desired size: $999,999.99.

This article claims it was fixed in FoxPro 2.5a for Windows. I'm using VFP 5.0. It doesn't seem fixed to me.