As hpi:help states,

hpi:custom-war
 Builds a custom Jenkins war that includes all the additional plugins
 referenced in this POM.

Please, consider adding parameter like addThisPluginToCustomWar, see PR:
https://github.com/jenkinsci/maven-hpi-plugin/pull/86
There is an issue with my implementation. WarMojo has defaultPhase = PACKAGE, so custom-war does not get built before jenkins plugin was packaged. Changing defaultPhase to PRE_INTEGRATION_TEST does not work. I suppose some rearrangement in the custom lifecycle might help. OTOH coutom-war should not be added to package phase in components.xml, as it should not be built and deployed by default.

Meanwhile workaround might be used:

mvn package hpi:custom-war -DaddThisPluginToCustomWar=true