Hi Jan,
Why is there an additional space after the thousand separator in math mode?
Because something like ${\mathbb N} = \{1,2,3,4,\dots\}$ would look quite bad without any space between the numbers. (The technical reason is that commas have the math class \mathpunct, meaning that TeX automatically adds a space after them. Adding the braces converts it to \mathord, which doesn't add any spaces.)
And what can I do to get rid of the additional space?
The TeXbook recommends that you wrap the comma in curly braces $x = 1{,}000$ but there's probably a ConTeXt \setupxxx command that would have the same effect. Many European languages use the comma as a decimal separator, so I'd generally recommend using a thinspace (\,) instead of a comma as a thousands separator to avoid confusion. Thanks, -- Max