I am slightly confused. Your target variable(s) has some missing values, but you still want to form your validation column stratified by the target variable. Is this correct? If so, where would you want the missing values to go? Training or validation? I think you still want the 80/20 split fo the missing values, correct? I will assume this is the case.
Think of a simple scenario where you have a binary target: 0 or 1, but you have some missing values. You want 80% of your data to go into training, 20% into validation. When you split into training and validation based on the target, you are saying that you want an 80/20 split for all of the 0's, an 80/20 split for all of the 1's, and an 80/20 split for the missings. However, the missing target cannot be used for the model building. There is no target to try and predict! JMP will ignore missing target rows regardless of which validation role they have been assigned.
However, you can still assign a validation role to the missing values, if you have some other reason for doing this. Go to Analyze > Screening > Explore Missing Values. Choose just your target column. Then choose one of the imputation methods. It won't really matter which one. I chose Multivariate Normal Imputation. Your missing target values will now all have a result, likely the same value. Be sure to keep this report open!
Now create your validation column as you normally would, specifying the target as your stratification variable. The Validation Column Type must be fixed for this to work. Note that you have imputed values so there are no missing values and your validation column will be completely filled in using the imputed data. Return to the Explore Missing Values report and click the Undo button in the Imputation Report area. This will remove the imputed values from your target variable, but your validation column will still have the Training and Validation values filled in.
Dan Obermiller