When you setup msbuild path on "Manage Jenkins" -> "Configure System" with only path.
The build will fail, because msbuild.exe is missing in cmd line.
When we configure it with complete path, like on screenshot, build works, but the configuration website shows a warning, that we must specify a directory instead of a file.
This behavior was on all jenkins server which we use.
It seems to be not happen for .NET 4.0 msbuild in the Windows folder!