Você está perdendo a condição dentro da subconsulta.
SELECT t2.Id, STUFF((SELECT ',' + CAST(VALUE AS varchar) FROM @MyTable t1 where t1.Id =t2.ID FOR XML PATH('')), 1 ,1, '') AS ValueList
FROM @MyTable t2
GROUP BY t2.Id
Demonstração
SELECT t2.Id, STUFF((SELECT ',' + CAST(VALUE AS varchar) FROM @MyTable t1 where t1.Id =t2.ID FOR XML PATH('')), 1 ,1, '') AS ValueList
FROM @MyTable t2
GROUP BY t2.Id
