If you have phases as your example shows, then yes, you will have to use scripting. If you do not have phases, then you can do this with reference lines. Run the following to create a control chart:
dt=Open("$SAMPLE_DATA/Big Class.jmp");
obj=dt<<Control Chart Builder(
Show Capability( 0 ),
Variables( Y( :height ) ),
Chart( Position( 1 ), Limits( Sigma( Moving Range ) ) ),
Chart( Position( 2 ), Limits( Sigma( Moving Range ) ) )
);
Right click on the height axis and choose axis settings. In the Reference Lines section of the dialog, check the box for Allow Ranges. For the Min Value, enter the LCL. For the Max Value, enter the UCL. Click on black next to Color and choose red. Click Add. Click OK.