First note that JMP doesn't mind whether your path specification uses forward or backward slashes. Therefore you are specifying a path that looks like this:
D:\Document\Variability\Win_A\FRP_Thickness.jpg
which fails because Win_A is being interpreted as a folder and not as part of the name of the file.
Before doing the save you might want to create a friendly file name e.g.
cname = Substitute(colList[i],"\","_");
path = "D:\Document\Variability\" || cname || ".jpg";
gb << Save Picture(path,JPEG);
-Dave