I ran your example using the Age Ranges and I was supprized how JMP handled the column. I had expected JMP to collapse all of the age data into your 4 groupings. Rather, it broke out all of the different ages into separate(Ordinal???) effects. I am not sure that is what you wanted, and I am not sure what is really going on. I assume what you really want to do is to group the data into the 4 groups, and to use those groups as input into the regression. If that is the case, I suggest that you create a new column and then use a formula to create the 4 groups.
If( :age < 35, "Millennial", :age < 50, "Generation X", :age < 65, "Boomers", "Greatest" );
Jim