Thank you for reaching us out.
Please note that setting up a Jenkins master slave configuration
is not subject of Test Studio related queries.
Though I will try to assist you in implementing Test Studio execution in the Jenkins configuration. First important note is that Jenkins agent should not run as a Windows service and you will need to install the java web archive as listed in step 1. in this article
In regards the same topic in case you are using Jenkins slaves as well these should be running as a headless service - which concerns the disclaimer you referred to.
An active session is a requirement for all UI tests to run successfully - here
you could read some further details along with possible solutions.
The Test Studio plugin should be installed where the Jenkins server is and where you maintain the jobs.
In regards the last shared piece of information about the job configured to use the ArtOfTest.Runner.exe I would like to kindly ask you to double check the arguments passed to it and whether the path is a meaningful one for the Jenkins slave. As far as I am aware Jenkins is using its own workspace and any file paths should be provided according that. Also I guess you should first configure deployment to the Jenkins slave machine (which will be in that workspace) and then trigger test execution.
I hope the provided information will be helpful to you to find out what you have missed. Though in case of any further queries you could get back and share details. Thanks!