This appears to be one of the fancier features of Plots. Not all backends are likely to support it because it is not necessarily a use case that many backend developpers might have anticipated/understood (I know InspectDR does not support this feature - not even for a color change).
I must also say that this is somewhat of an ambiguous command. For example, most backends would have to pick a single line color for their legends. To be accurate, a legend should probably display a similar color/line pattern that corresponds to the drawn line.
In any case, if I were to generate a plot similar to what you want, I would break up the datasets into multiple subsets (vectors), and assign a particular color/linestyle to that particular subset. In this particular case, that would just be 2 subsets.
The alternative would be to contribute changes to the Plots.jl module in order to support this feature.