When trying to run reverse engineering, select the options DDL Script RE -> DB2 z/OS v.9, and then add a DDL script which utilizes ALTER TABLE ADD CONSTRAINT FOREIGN KEY, those entries are ignored.
Even though "Relationships" are been selected to be reverse engineered, the "script display" does not report any errors and there are no relationships are included in the final model. The log file also does not report the step "Reversing relationships" - all other steps are logged.
Relationships do not get reversed because it's not supported
Waiting for fix in a future release of Toad for Data Modeler