Why is there no implicit conversion when using FORMAT vs CAST/Convert in CONCAT

Question

When we have the following table:

CREATE TABLE Test1 (
    Name NVARCHAR(50) NOT NULL
    , Code SMALLINT NOT NULL
)

With only 1 row for demo purpose:

INSERT INTO Test1(Name, Code) 
VALUES ( 'ABC', 1)

And the following queries:

SELECT CONCAT(Name, ' - ', Code)
FROM Test1
SELECT CONCAT(Name, ' - ', CONVERT(NVARCHAR(2), Code))
FROM Test1
SELECT CONCAT(Name, ' - ', CAST(Code AS NVARCHAR(2)))
FROM Test1
SELECT CONCAT(Name, ' - ', FORMAT(Code, '0'))
FROM Test1

The first 3 queries have a warning:

Type conversion in expression (...) may affect "CardinaltiyEstimate" in query plan choice.

But why is FORMAT behaving differently ? What happens behind the scenes to eliminate the implicit conversion?

Is there any other way then format so you are not impacted by the implicit conversion?

Queryplan