Configuring Hudson/Jenkins to build all mercurial branches
I've also been looking for this support in the Jenkins Mercurial plugin (partly because it's supported by its Git plugin) but the following Jenkins tickets seem to indicate that this is yet not implemented:
One option if you have branches that are used regularly (ie, named branches for milestones or developers) is to create copies of your master build and simply point it to that branch.
For example on my team's build server we have production ('default' branch) and development ('dev' branch). Our builds are run by feeding the branch name as a parameter to the build script (so it's a simple, one-field change from a copy of the main job).
Obviously this won't scale beyond a handful of branches, but it might be enough for your needs.