I think this is an undesirable feature of the waterfall plot function and I'm posting it here so that others don't spend as long as I did trying to figure out why your plot doesn't look right.
Here is an example of a correcly rendered waterfall plot:
[X,Y] = meshgrid(-5:.5:5);
Z = Y.*sin(X) - X.*cos(Y);
p = waterfall(X,Y,Z)
If you happen to have nan values in your data the plot does not raise an error but the white 'area-fill' of each plot line dissappears.
Z(:,5) = nan;
p2 = waterfall(X,Y,Z)
I couldn't find any mention of this in the documentation, and when you don't know that nan values are the cause of this, it's very hard to diagnose. Especially if your data set is large or the nan values are in the first or last column and it's not so obvious to see that there is a gap in the data as it is in these simple examples.