This is Ubuntu 14.04.5 LTS / x86_64 / g++ 4.8.4, Ubuntu 16.04.3 LTS / x86_64 / g++ 5.4.0 and the current Valgrind git head (i.e. valgrind-3.14.0.GIT) here …
It seems that the problem reported in the first post above is no longer present and one can now run "valgrind --tool=exp-sgcheck” with ROOT related macros and executables. One just needs to make sure that any source code, which one wants to analyse (i.e. a ROOT macro or a standalone executable), is compiled in debug mode (i.e. with debug symbols).
Unfortunately, currently, “valgrind --tool=exp-sgcheck” is not really a replacement for the AddressSanitizer memory error detector. Not only it is much, much slower but, it can also fail to detect and report “stack smashing” problems.