Breeding cichlids can be a little tricky if you're doing it in a tank with other fish, if the parent fish are young and just beginning to spawn, and if stress is a factor.
You mentioned there was no stress... I need to tell you, moving the female and fry to another tank is very stressful. Was the new tank cycled before you moved the fish to it? If the new nursery tank was newly set up, water quality likely also played a part. Differences in water params from the main tank to the nursery may also have contributed.
You have not given any indication of tank sizes... can you list those please? (main tank and nursery tank)
Did you perform any water testing in the nursery tank? What type of filtration is in the nursery tank?
Needless to say, there are many reasons why the fry may have died and/or been eaten by the parent fish. That is not unusual.
If you wish to try again to successfully spawn these fish, I would do so starting the pair out in a tank of their own, of appropriate size (at least 75 gallons) with lots of decoration, good stable water quality, and low stress levels.
Sorry for your loss, but just reading the info you posted about what happened, it does not surprise me that this didn't work out. Perhaps some reading about the breeding of Jack Dempseys would be of some benefit before you try again? If you Google
Jack Dempsey spawning, you should find plenty of useful information online. If you would like more help, please let me know. I will offer what I can for you...