Thanks a lot for the workaround! However, JMP should definitively invest some resources to make this feature more versatile.
Currently it only works for continues filter types and the non-selected data points cannot be made transparent for instance.
@hogi :Yes, it works if you disable the include mode, but we interpreted this wish as asking for the Interactive HTML output to be functional even when the include mode is enabled. To do so would require building the logic into the web-based Interactive HTML code to recalculate the graphs and reports with a different subset of the data than was exported. Even with JMP Live and JMP Public, where the include mode is supported, it is not done with our web-based code. It is done by communicating with a full version of JMP running on a server that is capable of rebuilding the report.
@Marco_ , to enable selection with the Local Data Filter as you described for the scatterplot matrix in the Interactive HTML version, you can disable both the Include and Show options before exporting. Then, the Interactive HTML Local Data Filter will select points chosen by the continuous (or categorical) filter rather than show or include them.
Here's a screenshot of the diamond's priced between $3000 and $4000 selected via the Interactive HTML Local Data Filter using the Diamonds Data.jmp sample dataset:

The Local Data Filter's menu in Interactive HTML will allow you to switch between selecting and showing the filtered rows in graphs. These are operations we can perform in Interactive HTML without the full calculation power of JMP.
~John