Thinking that the tool have to know memory allocation from application's launching...then know leaks, I suppose.
1. If your application will usethird party application by loading dlls, Inspector XE can detect all memory leaks occurred in these dlls.
2. If your application will use third party application by creating a new (child) process, Inspector XE cannot detect them.
Remember that Inspector XE only works for a single process.
I think that you may write a script which launches "sample application.exe" - it system-calls 3rd-party app which calls your dlls. Then use - (for example)
"inspxe-cl -collect mi3 -executable-of-interest your-dll -- my.sh".
Note that you launched "sample application.exe" as target app, which was not in same process memory space of 3rd-party application.