JMP is simply reporting the square of the ratio of the estimate to its standard error. See this example in JMP:
Names Default to Here( 1 );
dt = Open( "$SAMPLE_DATA/Big Class.jmp" );
nomLogRegr = dt << Fit Model(
Y( :sex ),
Effects( :weight ),
Target Level( "M" ),
Personality( "Nominal Logistic" ),
Run( Likelihood Ratio Tests( 1 ), Wald Tests( 1 ), Logistic Plot( 1 ) )
);
nomLogRegrW = nomLogRegr << Report;
est = nomLogRegrW["Parameter Estimates"][NumberColBox("Estimate")] << Get( 2 );
se = nomLogRegrW["Parameter Estimates"][NumberColBox("Std Error")] << Get( 2 );
WaldChiSqr = (est / se)^2;
Show( WaldChiSqr ); // WaldChiSqr = 1.08416718977359;
This CATMOD documentation shows that Chi square is calculated the same way.