You might have to wrap it to new window first or take higher level reference to capture also filter
Names Default To Here(1); 
dt = open("$SAMPLE_DATA/Big Class.jmp");
nw = New Window("Graph Builder",
	gb = dt << Graph Builder(
		Size(525, 454),
		Show Control Panel(0),
		Variables(X(:weight), Y(:height), Overlay(:sex)),
		Elements(Points(X, Y, Legend(9)), Line Of Fit(X, Y, Legend(11))),
		Local Data Filter(
			Show Modes(1),
			Mode(Include(0)),
			Add Filter(columns(:age), Display(:age, N Items(6)))
		)
	)
);
nw << Save Interactive HTML("$TEMP/test.html");
nw << Close Window;
Web("$TEMP/test.html");

With higher (or rather highest in this case) level reference
Names Default To Here(1); 
dt = open("$SAMPLE_DATA/Big Class.jmp");
gb = dt << Graph Builder(
	Size(525, 454),
	Show Control Panel(0),
	Variables(X(:weight), Y(:height), Overlay(:sex)),
	Elements(Points(X, Y, Legend(9)), Line Of Fit(X, Y, Legend(11))),
	Local Data Filter(
		Show Modes(1),
		Mode(Include(0)),
		Add Filter(columns(:age), Display(:age, N Items(6)))
	)
);
topref = (gb << top parent);
topref << Save Interactive HTML("$TEMP/test.html");
Web("$TEMP/test.html");
					
				
			
			
				
	-Jarmo