Thanks Matthew. I looked at the altitudeMode and it is set to absolute, which is why I was confused.
and here is an example coordinate showing the altitude value:
<gx:coord>-75.300238 40.109584 1002</gx:coord>
The good news is that by opening it in Google Earth and fiddling with it I managed to make it work.
Google Earth added a second altitudeMode node under the gx:Track node. I suspect that is what fixed it.
Note that even in GoogleEarth this doesn't seem to behave as expected - "absolute" seems to ignore the altitudes in the gx:coord nodes unless the text box next to the absolute setting says "various altitudes (min=-37m, max=1041m)". Not sure what that's about.
Perhaps it's worth updating the example, if the above is indeed a fix for the altitude being ignored?