I can't find a way to address individual lines in the CDF plot by JSL. An alternative is to create the plot from scratch which would give you much more control of the appearance.
Here's an example based on the Big Class.jmp sample data:
Names Default To Here( 1 );
dt1 = Open( "$SAMPLE_DATA/Big Class.jmp" ) << Split(
Split By( :age ),
Split( :height ),
Remaining Columns( Drop All )
);
Y = dt1 << get as matrix;
colors = {"red", "blue", "green", "yellow", "black", "red"};
sizes = {1, 2, 1, 2, 3, 5};
styles = {"Solid", "Solid", "Dotted", "Dashed", "DashDot", "DashDotDot"};
// Draw empirical CDF
New Window( "Empirical CDF",
Graph Box(
X Scale( min(Y)-1, max(Y)+1 ),
Y Scale( -0.0, 1.1 ),
For( j = 1, j <= N Col( Y ), j++,
{Quant, CumProb} = CDF( Y[0, j] ); // CDF function
Pen Color( Eval( colors[j] ) );
Pen Size( Eval( sizes[j] ) );
Line Style( styles[j] );
For( i = 2, i <= N Row( Quant ), i++,
H Line( Quant[i - 1], Quant[i], CumProb[i] );
V Line( Quant[i - 1], CumProb[i - 1], CumProb[i] );
)
)
)
);