I have created a measure which gives count of a column.
When i pull this new measure into my table visual and click on thousand separator, I don't see any difference. But, when I try the thousand separator for another column from the visual, it works.
Doesn't it work for measures and calculated fields?
Try going back into your model and selecting the measure. Select the comma separator in the ribbon to associate it with the measure. Also check to make sure you have this measure set as a number format and not text.