Actually, JMP is likely doing everything perfectly correct, but the results are not expected. Remember that dates are truly stored as a number (number of seconds since January 1, 1904). When you type 1/2010 and 2/2010 JMP is storing those as numbers (3345148800 and 3347827200). The difference between those is 2678400 seconds. When you choose to continue the sequence, JMP continues adding 2678400 seconds to the previous value. Eventually the pattern will skip a month because there are not the same number of seconds in each month.
You can see this by changing the format to m/d/y and noticing that you are not always getting the first day of the month. You may find it easier to "build" your date column by specifying the month, day, and year separately and then combining them.
Dan Obermiller