Thanks for your feedback, Daniel.
I am sorry, the mstest-plugin message you point out is slightly wrong. It should state something different:
[MSTEST] XML coverage report file not found or its format is not supported [..]
The problem you experience is due to the fact that .coveragexml files content may differ according to the tool which has produced them. The mstest-plugin reads the format produced by Visual Studio (or by an handmade tool written according to the instructions gave on MSDN). SonarQube reads the format produced by CodeCoverage.exe uniquely. Visual Studio is able to read both formats.
I hope to have the time to produce an XSLT which converts the CodeCoverage.exe format to the format produced by Visual Studio. Until then, I suggest you to use a different tool to produce the .coveragexml file..
I have updated the wiki for the MSTest-plugin according to the above text. It could take a while before the wiki changes get published.