When you drag a shape from a column into Graph Builder MAP ROLE, if the format in your data table for the column containing that shape (e.g. County) does not match the format of the column in the .jmp files for that shape (e.g. C:\Program Files\SAS\JMP\<version>\Maps\US-County-Name.jmp, you may get the message: No shape file found.
To match the format for your column to the correct format, look up the correct format in the shape .jmp file in your JMP directory. Then create a new column in your data table using the correct format, fill to end of table, and combine your original column with the new column using a formula.
Your county column must match county column syntax in .jmp shape file.