FIDDLE updated .
The problem is that you are using the old version jquery-uiin the jsfiddle created demo, which does not support selectmenu plugin.
so you need to add the latest version plugin files as shown below:
<link rel="stylesheet" href="//code.jquery.com/ui/1.11.0/themes/smoothness/jquery-ui.css">
<script src="//code.jquery.com/jquery-1.10.2.js"></script>
<script src="//code.jquery.com/ui/1.11.0/jquery-ui.js"></script>