According to this bug report comment 2 and 3 state:
- The EFI version of grub does not support loading real mode binaries.
- Don't present the GRUB menu option on EFI systems, since it won't work
(see LP #883017).
So from the live cd it will not work at the moment. According to this topic you can add it afterwards: How can I add the Memtest86+ options back to the Grub menu? but I doubt it will work: deleted comments state you still get the Error unknown command Linux16 error.
I also found this:
The issue is not 16 or 32 bits boot protocol, the main issue is the numerous BIOS calls required to do the memory initialization. EFI is a nice idea, but the first time I heard "EFI will replace BIOS in the upcoming months !!!" was in 2002 at an Intel Developer's forum. 10 years after, UEFI replaced EFI but BIOS is still present in 99% of PC Motherboard. It's an hard task to build an EFI-readyMemtest86+, with massive code rewrite, and that version will not be compatible with legacy BIOS. I will not consider supporting two forks at the same time, so when Memtest86+ will switch to EFI, the BIOS version will be discontinued. When BIOS will be not be available in standard PC components, I'll start working on en EFI revision.