I had the same problem. You could give _CrtDbg for WinCE a try: <
http://sourceforge.net/projects/crtdbg4wince/>.
It is under active development and stated to be Alpha, but it can already find all your malloc, callor, realloc, strdup, new, new [] leaks.
Aside of this, it also finds leaked CreateFile handles and more. "alpha" state is not because of lack of reliability, it's just because it not yet resembles all sophisticated commands of the original _CrtDbg API. It also need to be removed the .h and .cpp file from project for release build, but I got the message this will be done next few days.
Greetings,
Sarge