I don't think 'massively bloated' is a fair way to describe either jQuery or Prototype. Both of these libraries offer a lot. A better way to say it would be 'picked up some weight recently'.
That being said, I agree that this would be better off without jQuery; when every millisecond, every kilobyte matters, jQuery is simply off the table.
I agree with you that 'massively bloated' is a huge overstatement, and this plugin is clearly intended for desktop-style apps as an improvement to the default desktop-browser's select element. In desktop-land the 32kb it takes to download jQuery (min+gz) is absolutely nothing, and easily overshadowed by a single image file.
Perspective: My company has a jQuery/jQueryUI single-page web app (with MVC underpinnings) which serves a number of commercial customers very successfully. Does it matter that the whole app (which includes this plugin) may take 2-10 seconds to load from a cold-cache? No. After that there is absolutely zero load time throughout the entire app.
Btw, we also don't care about oldIE because we can insist commercial customers install Chrome-frame, which they are generally happy to do. They'd much rather that than we push a new 'native' desktop app at them and require them to install a .NET or Java runtime.
I wish people moaning about bloat and browser-support would actually think about the developers out there building products for very really use-cases that don't match their own mythical high-expectations of 'zero footprint/works-everywhere'. Some of us just want to get work done for paying clients and plugins like this are absolute life-savers.
That being said, I agree that this would be better off without jQuery; when every millisecond, every kilobyte matters, jQuery is simply off the table.