Hi @Lu,
Do you have installed the XGBoost add-in properly ? From JMP Help section related to Launch the Model Screening Platform : "XGBoost is not supported by JMP and is available only if the XGBoost add-in is installed. For more information about XGBoost, see community.jmp.com."
Is the number of data sufficient in each fold to compute the metrics ?
With the XGBoost addin installed and enought data for a 5-folds crossvalidation, I obtain the metrics for XGBoost model :

Hope these first idea may help you,
Victor GUILLER
"It is not unusual for a well-designed experiment to analyze itself" (Box, Hunter and Hunter)