Fixed header not working on 2nd page

Fixed header not working on 2nd page

If you have site a that contains several physical html files with data-position="fixed" specified in the data-role="header" divs then the fixed header works fine on the first page but doesn’t work after you click a link to go to another page in the site.

Note: If you have your mobile pages (data-role="page") in a single physical html file then the header does work fine. However for my application I need to use separate physical html files. 

Is this a bug? Am I missing a setting?