I realise it doesn't have the full flexibility of the Contour Plot platform, but if you can live with Graph Builder then you get the desired behaviour for free:
dt = Open("$SAMPLE_DATA/Little Pond.jmp");
cp = dt << Graph Builder(
Size( 732, 661 ),
Show Control Panel( 0 ),
Variables( X( :X ), Y( :Y ), Color( :Z ) ),
Elements( Contour( X, Y, Legend( 5 ), Number of Levels( 10 ) ) )
);