STRING_AGG is a new string function in SQL Server 2017

You can create comma separated, concatenated strings from values in columns in a database. The concatenated strings are separated by a separator which gets added except for the end of the string.

The full syntax is here:

STRING_AGG ( expression, separator ) [ <order_clause> ]

<order_clause> ::=  
    WITHIN GROUP ( ORDER BY <order_by_expression_list> [ ASC | DESC ] ) 

If you have SQL Server 2016, this will not work as shown here.

But it does recognize it as a function because I am using SQL Server Management Studio v17


Why not download SQL Server 2017 RC2 and try?

Download SQL Server 2017 Preview

SQL Server is just not on Windows OS only but it has widened its orbit.

These are the download links for installing /deploying SQL Server 2017 RC2 on various OS:

Deploying on Azure:
https://azure.microsoft.com/marketplace/?term=%22SQL+Server+vNext%22
OR
https://azuremarketplace.microsoft.com/en-us/marketplace/?term=%22SQL%20Server%20vNext%22

Linux:
Install on Red Hat Enterprise Linux 7.3https://docs.microsoft.com/en-us/sql/linux/quickstart-install-connect-red-hat

Install on Ubuntu Linux 16.04
https://docs.microsoft.com/en-us/sql/linux/quickstart-install-connect-ubuntu

Install on SUSE Linux Enterprise Server v12 SP2:
https://docs.microsoft.com/en-us/sql/linux/quickstart-install-connect-suse

macOS
Pull and run SQL Server on a Linux container on Docker
https://docs.microsoft.com/en-us/sql/linux/quickstart-install-connect-docker

Windows OS
https://www.microsoft.com/en-us/evalcenter/evaluate-sql-server-2017-ctp (180 days evalaution RC2)

Docker
Pull and run SQL Server on Windows container on Docker
https://hub.docker.com/r/microsoft/mssql-server-windows/

Pull and run SQL Server on Linux container on Docker
https://docs.microsoft.com/en-us/sql/linux/quickstart-install-connect-docker