I can't think of perf improvements from compiling so that RocksDB knows it is using jemalloc. But doing that provide at least 2 features:
1) enables monitoring specific to jemalloc, see db/malloc_stats.cc, I have used this for debugging perf issues
2) enables the no-dump allocator, which I have never used
$ find . -type f -print | xargs grep ROCKSDB_JEMALLOC
./thirdparty.inc: set(JEMALLOC_CXX_FLAGS "-DROCKSDB_JEMALLOC -DJEMALLOC_EXPORT= -DJEMALLOC_NO_RENAME")
./CMakeLists.txt: add_definitions(-DROCKSDB_JEMALLOC -DJEMALLOC_NO_DEMANGLE)
./Makefile: PLATFORM_CXXFLAGS += -DROCKSDB_JEMALLOC -DJEMALLOC_NO_DEMANGLE
./Makefile: PLATFORM_CCFLAGS += -DROCKSDB_JEMALLOC -DJEMALLOC_NO_DEMANGLE
./db/malloc_stats.cc:#ifdef ROCKSDB_JEMALLOC
./db/malloc_stats.cc:#endif // ROCKSDB_JEMALLOC
./examples/Makefile: PLATFORM_CXXFLAGS += -DROCKSDB_JEMALLOC -DJEMALLOC_NO_DEMANGLE
./utilities/memory_allocators.h:// JeMallocMemoryAllocator can define these methods if ROCKSDB_JEMALLOC is
./port/win/port_win.h:#ifdef ROCKSDB_JEMALLOC
./port/win/port_win.h:#ifdef ROCKSDB_JEMALLOC
./port/win/port_win.h:#ifdef ROCKSDB_JEMALLOC
./port/win/win_jemalloc.cc:#ifndef ROCKSDB_JEMALLOC
./port/jemalloc_helper.h:#ifdef ROCKSDB_JEMALLOC
./port/jemalloc_helper.h:// MSVC does not have weak symbol support. As long as ROCKSDB_JEMALLOC is
./port/jemalloc_helper.h:#endif // ROCKSDB_JEMALLOC
./util/compression.h:#if defined(ROCKSDB_JEMALLOC) && defined(OS_WIN) && \
./util/compression.h:#endif // defined(ROCKSDB_JEMALLOC) && defined(OS_WIN) &&
./util/bloom_test.cc:#ifdef ROCKSDB_JEMALLOC
./util/bloom_test.cc:#endif // ROCKSDB_JEMALLOC
./memory/jemalloc_nodump_allocator.h:#if defined(ROCKSDB_JEMALLOC) && defined(ROCKSDB_PLATFORM_POSIX)
./memory/jemalloc_nodump_allocator.h:#define ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.h:#endif // ROCKSDB_JEMALLOC && ROCKSDB_PLATFORM_POSIX
./memory/jemalloc_nodump_allocator.h:#ifdef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.h:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.h:#ifdef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.h:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.h:#ifdef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.h:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.h:#ifdef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.h:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/memory_allocator_test.cc:#ifdef ROCKSDB_JEMALLOC
./memory/memory_allocator_test.cc:#endif // ROCKSDB_JEMALLOC
./memory/jemalloc_nodump_allocator.cc:#ifdef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#ifndef ROCKSDB_JEMALLOC
./memory/jemalloc_nodump_allocator.cc: *why = "Not compiled with ROCKSDB_JEMALLOC";
./memory/jemalloc_nodump_allocator.cc:#ifndef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#ifdef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#else // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#ifdef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#ifdef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#ifdef ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#endif // ROCKSDB_JEMALLOC_NODUMP_ALLOCATOR
./memory/jemalloc_nodump_allocator.cc:#ifndef ROCKSDB_JEMALLOC