The _socket error is Windows specific and due to a wrong assumption I made regarding the layout of the files installed.  It is Windows specific and is fixed in 18.1.  While the embedded Python environment finds the _socket.pyd file just fine where it is located, the setuptools process assumes that the .pyd files will be found within a DLLs/ directory.  
 
In 18.1,  I have created a DLLs subdirectoy, and moved the .pyd files and 4 Python specific DLLs from the JMP.exe directory to the DLLs/ directory.  Those 4 dlls being libcrypto-3.dll, libffi-9.dll, libssl-3.dll and sqlite3.dll. 
 
The workaround to try for 18.0, 18.0.1 is to shutdown JMP, create the DLLs/ subdirectory in the directory that contains JMP.exe, then move the .pyd files and the 4 aforementioned dlls into the DLLs subdirectory.  ( and of course restart JMP afterwards ).
 
Assuming JMP is installed in c:\Program Files\JMP\JMP\18
 
Exit JMP
make the directory c:\Program Files\JMP\JMP\18\DLLs
Move *.pyd to c:\Program Files\JMP\JMP\18\DLLs
Move libcrypto-3.dll, libffi-9.dll, libssl-3.dll and sqlite3.dll to c:\Program Files\JMP\JMP\18\DLLs
Restart JMP
 
That should fix the issue.  And JMP Python Integration finds the pyd files just fine located within the DLLs directory.