PMD jenkins plugin is only displaying the PMD check results. You need to run PMD using Maven as part of your build triggered by Jenkins. For example this could look like that in your pom.xml
<reporting>
<plugins>
<plugin>
<groupId>org.apache.maven.plugins</groupId>
<artifactId>maven-pmd-plugin</artifactId>
<version>2.7.1</version>
<configuration>
<linkXRef>false</linkXRef>
<targetJdk>1.6</targetJdk>
<rulesets>
<ruleset>/rulesets/basic.xml</ruleset>
</rulesets>
</configuration>
</plugin>
</plugins>
</reporting>
Then PMD-jenkins will know where to pick up the results and publish them for you.
To get the results you will need to add this code to your pom.xml and execute the according target in Jenkins, yes.
Note that this is not related to PMD-plugin in Eclipse. The Eclipse PMD plugin just shows the result of the local analysis, not related to Jenkins.