Responsive Sticky Headers
You may need to attach some additional custom JavaScript to do this. Take a look at the "correct" answer to a similar question.  

EDIT: 
I've put together a working version of this page - which contains a working modification of the tableheader.js to solve the problem of sticky headers not working when scrolling horizontally. 

I've created a module with a new theming function that can be used as an alternative to Drupal's table_theme to allow for scrolling sticky headers.I also created an example module. It's working great, but may need some tweaking for your case. The modules are not documented (I'll do that later) but you can look at the example. It's self explanatory. It's on GitHub, here.

I hope this is useful.