How to thicken bleu cheese dressing?
This recipe just has a lot of liquid in you can see her dressing is very fluid. If you're comparing it to bought dressing this tend to contain thickener to get the desired consistency so this is to be expected. 

There are lots of other recipes so might be worth finding one with less liquid to dry ingredients: more cheese, or other dry ingredients like mustard powder or onion powder. You can thicken it by blending some of the cheese in or adding more cheese by crumbling. This will make it thicker, it will also make it cheesier but that shouldn't really be undesirable. Letting it sit in the fridge will help it stay thick as you've noticed it is a lot loser once it's losing it's chill.

You might also want to consider what blue cheese you are using, A drier crumbly blue will thicken the dressing more than a wetter soft cheese.