In the first example the KML file exists locally. In the jsfiddle example the KML file exists on another server which presents a "cross-domain" security violation. The browser will not allow you to request that file unless you implement a proxyhost. Unfortunately you will not be able to make this example work on jsfiddle.
I suggest you just copy paste it into an html file. You get debugging, an example that works and a smile on your face :).
BTW can I ask what this whole jsFiddle craze is about? I noticed all your questions revolve around making these examples work on jsFiddle. That's fine in some cases, but you'll find you cannot run all openlayers examples on jsfiddle as they require you to have a local proxy which jsFiddle cannot provide.
Actually you could make it work if you're okay with storing the kml as a string variable in your page. Not requesting the KML from another server.