There are a couple of ways to get to what you need:
1. If you have JMP Pro then you can use one-click bootstrapping to get a bootstrap CI for AUC.
2. The add-in https://community.jmp.com/t5/JMP-Add-Ins/Exploring-Model-Classification-Thresholds/ta-p/66964 will provide AUC CI and Se and Sp CI and more.
3. The add-in https://community.jmp.com/t5/JMP-Add-Ins/Performance-Summary-for-Diagnostic-Tests/ta-p/22524 is a simpler add-in that just does the performance measures portion of the add-in in #2.
4. You can always get the Se (or Sp) CI using the distribution platform using summary table with a column for 0/1 and a column for counts of each and then use distribution with column 1 (a nominal column) as the Y and the column of counts as the Freq then select CI from the red triangle menu (you can use Redo>Automatic Recalc to look at different results).