You need to transpose the CData matrix before passing it into nonzeros.
nonzeros generates a list of non-zero elements by traversing the input 2D matrix in column-major form. However, the digraph generates a list of edges from the adjacency matrix in row-major form.
Try this code:
A = [1 1 0 0 0; 0 0 0 0 1; 0 1 0 0 1; 1 0 0 0 0; 0 0 1 1 0]; %adjacency matrix
CData = [.85 .1 0 0 0; 0 0 0 0 .2; 0 .5 0 0 .65; .3 0 0 0 0; 0 0 .45 1 0]; %color data
CDataVec = nonzeros(CData.'); %convert to vector for EdgeCData property
colormap jet
caxis([0 1])
G = digraph(A);
DG = plot(G);
DG.EdgeCData = CDataVec;
c = colorbar;
% Compare the order of the following two arrays:
CDataVec
G.Edges.EndNodes
