So, Jessica Drew has combat reflexes on her last click. What is the point? Don't you have to take damage for the power to work?

For the first part yes, but for the knockback damage immunity it has to be there after the damage from the attack resloves. If she gets hit for a number of damage that puts her on that last click and then would be hit off of a building because of knockback she'd take 0 damage from the "fall".

Yes. The CR on the last click is there to kick in for preventing knockback damage if you happen to land on it.

Her last click of Combat Reflexes would come into play in the following scenrio. She has three clicks left and gets hit for two knocking her back into a wall. Normally, she would take another click of damage and become ko. But with that last click of combat reflexes she's still alive.