For future searchers of a solution like this.
I wanted to do the same but with a character value like a file name for the source file upon import. It seems like you have to declare Character in the New Column function to get it to work right. Otherwise, it just populates with missing values. Thanks.
This didn't work:
dt << New Column(colName, Set each value(fileName));
This did:
names default to here(1);
dt = current data table();
colName = "SourceFile";
fileName = dt << get name;
dt << New Column(colName, Character, Nominal, Set each value(fileName));
This thread had it: https://community.jmp.com/t5/Discussions/Set-Column-Values/td-p/13584