How correlated are proximally related CpG sites in human DNA?
I've got to dash off so I won't be able to give a fully in-depth answer today, but this basically boils down to the concept of CpG islands.  Something like 70-80% of CpGs are methylated in humans, so if they were randomly scattered around the genome there is already a pretty high chance nearby CpGs are in the same state.  However, because of CpG islands, CpGs of similar state are indeed grouped together, depending on promoter activity (to simplify things a bit).

That being said, if you look for articles that cite your article, a plethora of useful references show up.  In particular, this bad boy has a handy figure 1 which displays the overall landscape.  Maybe that's too broad of a view, but in general, like methylation patterns cluster together; otherwise, there'd be no such thing as a methylation pattern!  This paper has a neat figure which sums it all up nicely:



Basically, it's usually high-methylation or low-methylation; rarely is there anything in between.  There's a lot more in there so I'd recommend going through some of them; I'll try to get back to this later.