Host Server1
User root
HostName 192.168.100.10
Host Server2
User root
HostName 192.168.100.5
HostName Server3
User root
HostName 192.168.100.2
ProxyJump Server1, Server2
#!/bin/sh
/usr/bin/expect <<EOF
spawn ssh -F my.conf Server3
expect "password"
send "PASSWORD-OF-SERVER-1\r"
expect "password"
send "PASSWORD-OF-SERVER-2\r"
expect "password"
send "PASSWORD-OF-SERVER-3\r"
expect "$"
interact
EOF
$ server3.sh
You have old OpenSSH version that does not support the ProxyJump option. It was introduced in OpenSSH 7.3 so if you need to use it, you need to get this or newer version (it might not be provided by your distribution).
But as already said, you can rewrite every ProxyJump command using ProxyCommand (as pointed out in the original question).
https://superuser.com/a/1218139