Is this related to your other thread called "Convert field but retain format"?
I don't know anything about how a “linked server on MSSQL Server” works, but keep in mind that date fields are stored internally as 4 bytes (in a compressed format) and they should be translated to the desired text format only by the final DBMS that displays the data.
The internal representation of the data does not have any knowledge of ISO, USA, etc formatting. It is only when the data is displayed (or returned to an application program) that the conversion to text (with dashes, slashes, periods, etc) takes place.
This assumes that you want MSSQL Server to treat the column as a date and not a text value.