I'm a little surprised neural network comes up with a straight line and linear regression doesn't, which I thought by definition it would do. (e.g. on 2 normal groups)
Some discussion of methods, ie how many hidden layers/nodes for the neural network, would probably help make some sense of it.
Looking at the code (http://jsfiddle.net/wybiral/3bdkp5c0/light/) it seems they are expanding the features to include all second and third order terms (options.expansion = cubic), that's why linear regression does not come up with a straight line.
Some discussion of methods, ie how many hidden layers/nodes for the neural network, would probably help make some sense of it.
Random forest could be worth adding.