My recommendation is to use GraphBuilder to create your display. By default, when the legend is selected, the group and associated elements (points, line, splines, etc.) are selected.
Try this and select F or M to see the behavior. Of course GraphBuilder structure is a bit more complex compared to Bivariate.
Names Default To Here( 1 );
Open( "$SAMPLE_DATA/Big Class.jmp" );
gb = dt <<
Graph Builder(
Size( 534, 454 ),
Show Control Panel( 0 ),
Variables( X( :height ), Y( :weight ), Overlay( :sex ) ),
Elements( Points( X, Y, Legend( 13 ) ), Smoother( X, Y, Legend( 14 ) ) )
);
If you are using Bivariate, when you select a group, I suggest you change the selected spline to be wider (2 or 3), and change the other unselected splines to width 1 and modify the color. For example, for each color define an unselected color, such as, for medium dark blue, {0, 0, 221}, define its unselected color as {170, 197, 253}, lighter with some graying.