Fair enough, I guess. This still lowers my expectation that there is a significant positive improvement in the long term, and is strong evidence against the sort of anecdotal claims that "you immediately feel better and more alert" that I hear all the time.
I think something else that could have impacted their results is that for some people, the knowledge that they are being tested changes the way they think/perform quite drastically. When I sit at a desk and do menial work, I get restless and my productivity plummets. But if you tell me that I'm being assessed, and you give me a straightforward task, I will have no trouble focusing on it for at least an hour. Maybe treadmill desks help you stay on task, but at the same time inhibit your cognitive performance slightly.
But this only looks at walking while doing another task. How about a short walk and then sitting for the test?