I have replicated your finding. I suggest you pass this issue to the JMP Support team. You also may want to add the need to honor excluded columns to the JMP Wish List.
All that said, here is a work around
names default to here(1);
dt= current data table();
colList = dt<<get column group( "TestGroup" );
// Remove from the group list excluded columns
for(i=nitems(colList),i>=1,i--,
if(column(dt,colList[i])<<get excluded == 1,
remove from(colList,i,1)
)
);
ow2 = Oneway(
Y( eval(colList) ),
X( :site )
);
Jim