If you want to use the selection feature but make the selection less visible, you could changing the style of how selected items apear in the heatmap:
dt = Open( "$SAMPLE_DATA/Big Class.jmp" );
dt << Graph Builder(
Show Control Panel( 0 ),
Variables( X( :height ), Y( :weight ), Overlay( :sex ) ),
Elements( Heatmap( X, Y, Legend( 3 ) ) ),
SendToReport(
Dispatch(
{},
"Graph Builder",
FrameBox,
{Fill Selection Mode( "Selected Outlined" )}
)
)
)