Inefficient use of Valgrind

This is already stated in the documentation, but let me repeat. Valgrind can detect memory leaks only if the application uses malloc() and free(), or, in C++, operator new() and operator delete().

This is not always the case. E.g., ImageMagick, when configured with the --enable-embeddable switch, uses mmap() directly in order to allocate memory for its needs. Other problematic cases involve custom memory pools on top of malloc() and free(), as done in Glib.

So, if you want to find a memory leak with Valgrind, the first thing to do is to turn off all those custom memory allocation schemes. OTOH, if the buggy thing is the allocator itself, this will hide the bug.