... I never seen fat comma (=>) used in join. Is this because we wanted the $sep to be quoted and fat comma will do that for us?

In this case, use of the fat comma is a personal notational convention.  $sep is already 'quoted'; that is to say, it is already a string, and there's nothing you could do to make it stringier. If it had been a bareword instead (and assuming strictures and warnings enabled), use of a fat comma would have caused the bareword to be treated as a string.

c:\@Work\Perl\monks>perl -wMstrict -le
"my $s = join foo => 1, 2, 3, 4;
 print qq{'$s'};
"
'1foo2foo3foo4'
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In fact, any legal expression will be 'stringized' for use by join:

c:\@Work\Perl\monks>perl -wMstrict -le
"my $s = join 8, qw(foo bar baz);
 print qq{'$s'};
"
'foo8bar8baz'
[download]