Just to mention it: this is a bash feature and not supported by standard shells/busybox.
You should really install a shell with better scripting support if you need regex and follow the countless shell-scripting tutorials on the net - unless maybe you want to deploy it elsewhere. Just make sure you're reading a tutorial for the right shell, since shell scripting != shell scripting.
You are right! I tried it and it works. I'm sorry. But I wonder where this is documented. I had a look at busybox.net and couldn't find anything about scripting or regular expressions. Not even in the manual page: http://busybox.net/downloads/BusyBox.html