I might be missing something, but I do not see a legend on your graph (either one!).
The top picture is of graph builder, and all of the items to the left of the graph are part of the control panel, not the graph. When you are finished creating the graph, you click DONE. The result is what is copied because that is the graph.
Some tips on copying/pasting to Microsoft Office products: when you select the items in JMP and choose Copy, use the Paste Special option in Office and choose the Enhanced Metafile. That seems to give the best results as the Windows clipboard is notoriously "unfriendly" on what it will do with copied items. Further, you could take your JMP report and save it directly as a Word document or a PPT document. That might be a good way for you to work, too.
Dan Obermiller