You are correct.  The position where the collapsing of the Local Data Filter was, will execute before the OK button is pressed.  I was always testing the code by running everything above that line, and then running the line separately.  My error.  I have moved the line of code to a position where it is only executed after the OK button is pressed.
Names Default To Here( 1 );
dt=Open("$SAMPLE_DATA/Big Class.jmp");
// Prompt for the input and create graph
rc = New Window("Choose the parameters to be plotted",
	rb = Radio Box({"Female", "Male"}),
	Button Box("Ok",
		Choose(rb<<Get,
			gb = Graph Builder(
			Variables(X(:age), Y(:sex)),
			Local Data Filter(
				Close Outline (1),
				Add Filter( columns( :sex ), Where( :sex == "F"))
			),
			
			SendToReport(
				Dispatch(
				{},
				"age",
				ScaleBox,
				{Add Ref Line( 2.5, "Dotted", "Black", "", 3 )}
		)
	)
			
			),
			
				
			Graph Builder(
			Variables(X(:age), Y(:sex)),
			Local Data Filter(
				Close Outline (1),
				Add Filter( columns( :sex ), Where( :sex == "M"))
			),
			
			SendToReport(
				Dispatch(
				{},
				"age",
				ScaleBox,
				{Add Ref Line( 2.5, "Dotted", "Red", "", 3 )}
			)		
		)
			
			),
		);
		
		rb<<Close Window;
		(gb<<top parent)["Local Data Filter"]<<visibility("Collapse");
	)
);
					
				
			
			
				
	Jim