I'm not sure if this is a missing feature or a bug.
Currently, the valgrind plugin doesn't pick up memory errors reported in DynamicAnalysis.xml (the file written by CTest).

A workaround would be to implement an XSLT myself to convert DynamicAnalysis.xml to xml format written by valgrind. It would be great if Jenkins's valgrind plugin natively supports it, though.

Attached an example DynamicAnalysis.xml with memory errors (ctest command I used: ctest -D ExperimentalMemCheck).