That is a custom JMP app, not something that JMP has published. This was shared in JMP Discovery back in 2012 and the focus of the talk was more about how to use R from JMP rather than the actual change point analysis tool. They may not have ever made that app public and may consider it IP. I know Mark Ewing is still at Eastman, though he's not doing this kind of stuff anymore. You can try to contact him to see if he'll send this app to you. His username is @Anonymous, so you can try sending him a message through the community.
-- Cameron Willden