Are you kidding me?! You can't format a SD card using a Windows Mobile device? Oh the irony. My Treo 755p, running the "ancient" Palm OS 5 can even format a SD card. Don't believe me? Here is Palm's KB article on the subject:
"If you need to format an expansion card for your Windows Mobile Treo smartphone, you'll need to use your desktop PC and an expansion card reader. It is not possible to format an expansion card in your smartphone."
I wonder if Microsoft will add the ability to format SD cards in Windows Mobile Professional 6.5 or 7.