If you right click on the line in the Legend, a color selector will pop up allowing you to select a color for the corresponding line in the survival curve as well as the legend.
Unfortunately, if it is the line style or width that you're interested in changing, the legend currently does not update for line style or width. This is a known issue that has been reported to JMP development staff to be considered for future releases of JMP. Sorry for the inconvenience.
Thanks,
Michael
Michael Crotty
Principal Statistical Writer
Manager, Statistical Documentation
JMP Development