According to the docs here, the sticky plugin just provides hooks for making things sticky but does not actually style them as so. It is left to you to decide how 'sticky' should look.
The fiddle is setting and unsetting the .stuck
class, that indicates when an element is stuck, as it is supposed to. You just need apply the styling to it. A very simple example is:
.stuck {
top: 0px;
position: fixed;
}
An updated fiddle is here: http://jsfiddle.net/4Mt4K/1/