Am I missing something here? The only additional options I see are thread watching and email notifications, and a "Thread Status" setting (which is an empty space for me). Shouldn't XenForo move those up to the same field as the reply box in the thread, or am I missing something?
How may other options are actually given with that button will depend on the particular subforum one is in and also on the permissions settings of the user. For example, for members who are contest admins and moderators the button in question opens other options for anonymizing thread responses (something we do in contest threads) and other options needful to the task of moderating. The button itself is always present, so, yes, admittedly sometimes its purpose can seem a little unintuitive. When we were a VBulletin forum this dynamic was handled differently and learning how and when the functions for the "More Options" changes was part of the initial learning curve.
It also adds a "Preview..." button so that you can preview your post before posting it (to ensure formatting, etc. is correct). ETA: Though, to be honest, this button would probably be better to have outside of More Options since no one knows it exists.