Explain Plan for DB2 is only supported (officially) for DB2 running on Linux/UNIX and Windows. DbVisualizer Personal comes with extended visualization support (aka database profile) for DB2 on z/OS but still it is not a combination we officially support. The reason is that we have limited resources to test it.
If someone have had success running the explain plan feature in DbVisualizer with DB on z/OS then please post.
The explain feature is enabled by what JDBC driver is being loaded. If you at connect automatically see Profile: db2 at the bottom of the Connection tab you should also see a DB2 category in Connection Properties. It lists some settings for the Explain feature. If you don't see these at all then it is strange.