When I installed WSL for my computer I was very excited to have a more natively supported Linux system rather than using VirtualBox. H
I had the same problem, the solution was to install Windows 10 creators update (version 1703), and reinstall Bash/WSL. Valgrind now works fine :)
It's definitely possible
I've encountered some problems installing it directly with apt, however it can be installed manually with some very simple steps:
wget http://valgrind.org/downloads/valgrind-3.12.0.tar.bz2 (by the time you read this there could be a newer version)tar -xvjf valgrind-3.12.0.tar.bz2cd into the exctracted folder valgrind-3.12.0 and then launch ./configuremake while in the valgrind-3.12.0 foldermake check to see whether all the dependencies necessary for the installation are satisfied (e.g: you'll have to install g++, just launch sudo apt install g++)sudo make install to install it