The path you provide needs to be relative to the workspace root, which will be something like:
grails-app-name/target/test-reports/*.xml
If you're checking it out into a module (an optional Jenkins field in the "Source Code Management" section), you'll need the module name first:
module-name/grails-app-name/target/test-reports/*.xml
Tip:
Underneath the Test report XMLs field you're entering the value in, there's a link to the workspace root. Click it, and navigate to your test-reports folder; the path at the top is what you need to enter.