JMP uses alphabetic or numeric order by default except for a few special cases. Gender is not one of them. So the default order is F is first and M is second. That leads to the results shown in the on-line documentation.
This order is important. JMP will subtract the response of the second level from the response of the first level, so the mean height of sex = F from the mean height of sex = M.
If the order of the sex levels is reversed, then so is the difference (negated). I was able to reproduce your result by adding the Value Order column property and making M first and F second. Is that what you have for the order?