This solution gets around the issue of opening CSVs in JMP without having to uncheck the "Default Program" checkbox but unfortunately these changes do not hold after restarting JMP....
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I have ran into this issue with other users and experienced it myself.
The checkbox at the bottom, "Select this filter next time this windows is invoked" should save your file type preference.
I tested it and it did not work for me initially. I had to play with it by changing it to Data Files and then it started work.
Change it to Data Files, uncheck the box, check it back, and open a CSV file. Close the CSV file and then go to File > Open and see if the File Type selection stayed.
You should be able to change it to what you need it to be and it should stay now.
Please let me know if you need additional assistance.