Sorry my mistake. Github plugin in "Console Output" displays link to merge on github instead of github commit.
Console Output:
...
Setting commit status on GitHub for https://github.com/SmartCrowd/Monitoring/commit/30b42207656fd2341276e916cad73b9181b4f9cc
...
Merge on github:

Commit in this merge on github:

System Log Jenkins:
jan 28, 2016 10:00:02 AM INFO org.jenkinsci.plugins.github.webhook.subscriber.DefaultPushGHEventSubscriber onEvent
Received POST for https://github.com/Company/Repository
jan 28, 2016 10:00:02 AM INFO org.jenkinsci.plugins.github.webhook.subscriber.DefaultPushGHEventSubscriber$1 run
Poked Jenkins-Build-Name
jan 28, 2016 10:00:02 AM INFO org.jenkinsci.plugins.github.webhook.subscriber.DefaultPushGHEventSubscriber$1 run
Poked Server-Name
jan 28, 2016 10:01:40 AM INFO org.jenkinsci.plugins.github.webhook.subscriber.DefaultPushGHEventSubscriber onEvent
Received POST for https://github.com/Company/Repository
jan 28, 2016 10:01:40 AM INFO org.jenkinsci.plugins.github.webhook.subscriber.DefaultPushGHEventSubscriber$1 run
Poked Jenkins-Build-Name
jan 28, 2016 10:01:40 AM INFO org.jenkinsci.plugins.github.webhook.subscriber.DefaultPushGHEventSubscriber$1 run
Poked Server-Name
jan 28, 2016 10:01:42 AM INFO com.cloudbees.jenkins.GitHubPushTrigger$1 run
SCM changes detected in Jenkins-Build-Name. Triggering #53
jan 28, 2016 10:02:12 AM INFO hudson.model.Run execute
Jenkins-Build-Name #53 main build action completed: SUCCESS
You have different sha on screenshot. This plugin can set commit status only on commits in branches of this repo. So it didn't work on PRs without additional magic