Since you have no BASELINE statement or COVARIATES= data set you have only one set of covariates being plotted by default. This is the reference level of the CLASS variables and the means of any continuous covariates. As such, you might want to try the OVERLAY=BYROW option which "displays, for each covariate set, a separate plot containing the curves for all the strata." This is according to the PHREG documentation on the OVERLAY option.
... View more
