They do happen all the time, though. One piece of software I work on frequently fails in CI when a dependency updates because it often triggers defender's automated "new threat" detection system some days after it's released. After another week or so it's fine, but it's a pain the neck.
Go look at the "build log" in your compromised jenkins server and download the (already compromised) build artifact and make sure it matches the mega.co.nz file?
Do you expect the average software engineer to be able to look at a .exe, pull up a disassembler, and know that all the assembly maps back to the source code?
The person who originally reported it was not super technical so if your software engineer can’t reproduce the customers steps to see the same error then you probably need better software engineers.
You say "Jenkins server" as if there's a CI setup involved.
I wouldn't be surprised if, in many cases, these companies just have whoever touched the code last run a build on their computer and ship that. (Which probably explains how some of the malware got there.)
It's not hard to replicate downloading a zip archive from the official location and find someone knowledgeable to look at it if you aren't yourself. A non-software-engineer did just that.