You're right, none of the plots/analysis have legends by default. We need to add it using right click -> rows -> row legend for one plot. For adding legend simultaneously to multiple plots we press ctrl + right click  -> rows -> row legend.  Similarly for removing legends from multiple plots simultaneously, we (used to) press ctrl + right click -> remove. 
Our datasets usually have multiple continuous variables and categorical variables.  Here is a example with simpler smaller dataset

Figure 1: example of X-Y plot with manually added row legends. This analysis contains 4 plots. Legends were added by pressing CTRL + Right click. 
As a part of EDA we constantly need to explore different categories (color by split in this case) 

Figure 2a: right click options for adding legends. CTRL + right click applies changes to all plots simultaneously. 

Figure 2: right click options. Remove usually removes legend
CTRL + Right click would apply changes to all plots. I.e Adding legend to all plots simultaneously works with CTRL + Right click. But for removing legends, CTRL + Right click -->  REMOVE stopped working for JMP18. It used to work for JMP16.   
Our actual datasets have >15 numerical variables and > 5 categorical variables with multiple levels (>3). 

Figure 3: Variability plot - there are more than 10 plots in this analysis (showing only one as an example)
As a part of Exploratory Data Analysis (EDA) we need to explore various categories by applying row colors / shapes etc. For this we need to add/remove legends constantly to make it make sense. 
Removing legends one by one is fine for 3 or 4 plots. But it becomes a very time-consuming task to remove legends one by one for 10+ plots.