Although I do not know the actual reason, I believe this is due to the idea of the column switcher. You want to switch between columns, therefore you get a list of column names. If you'd had the grouping names as well in the list you would see nothing for those. Therefore JMP tries to avoid this and does not show these.
I understand you would like to colllapse other groups and switch only for some columns.of one group then switch to e.g. another group further down and so on.
If you would like to find the right column names without Scrolling down you may want to use the hotspot next to "columns" and use the "Name contains..." search.
If there is another reason you may want to describe it and/or provide this Feature/enhancement request via our Technical Support to the developers.