Stepwise models containing categorical variables sometimes result in the creation of dummy variables. I think it's the case where the model contains two factor interactions.
That doesn't happen with standard least squares.
As you say, you can go back to the model dialog and edit the model specification, but it's not ideal.
I don't really want to see the dummy variables, and certainly not when I push the model back into a least squares model - I would have thought JMP could fix this, although maybe I am missing some mechanism that already exists?
-Dave