Wait, I thought you were running the packaged executable with memory profiling enabled. You should leave bUseMallocProfiler set to false (and rebuild the engine, etc.) to use the editor. Set bUseMallocProfiler to true when compiling the package executable for your game (are you using ‘Development’ and ‘Win64’?). Once you have your game executable built, turn bUseMallocProfiler back off, fully rebuild the engine, then package your game (with the executable using the memory profiler). When you run the packaged executable, it should create the .mprof file.
Maybe you should just run the game uncooked with the memory profiler enabled?