I'm not sure if this will work in all cases. But you can modify widthj of the line in FrameBoxes, to get all frameboxes you can use XPath.
Names Default To Here(1);
Open("$SAMPLE_DATA/Big Class.jmp");
gb = Graph Builder(Size(568, 438), Show Control Panel(0), Variables(X(:age), Y(:height), Y(:weight)));
gbR = Report(gb)[Graph Builder Box(1)];
gbR << Add Element(1, 1, {Type("Smoother"), X, Y, Legend(3), Confidence of Fit(0)});
gbR << Add Element(1, 2, {Type("smoother"), X, Y, Legend(2), Confidence of Fit(0)});
fbs = gb << XPath("//FrameBox");
For(i = 1, i <= N Items(fbs), i++,
frame = fbs[i];
seg = (frame << Find Seg("Line Seg"));
seg << Set Line Width(6);
);
-Jarmo