Ellipses with 90% coverage are shown for each level of the categorical variable X. For the Linear discriminant method, these are based on the pooled within covariance matrix. Figure 4.17 shows the Scatterplot Matrix window for the Iris.jmp sample data table.
Figure 4.17 Scatterplot Matrix for Iris.jmp
The options in the report’s red triangle menu are described in the Essential Graphing book.