After participating in the chase of Price down into Arkansas, Jennison and his 15th engaged in the type of total warfare that his 7th had waged in the 1861-62 jayhawking raids in Missouri. That was what got him court-martialed (along with his usual dose of insubordination).
There may have been some Missourians who cheered Jennison; it didn't include Missouri Governor Gamble. He thought the Union cause could be advanced by executing the jayhawkers, and suggested starting with Jennison.