The gentoo LiveUSB documentation references renaming /mnt/usb/memtest86 to /mnt/usb/memtest however it appears at some point the memtest kernel has been moved to boot (i.e. /mnt/usb/boot/memtest86). Not sure if the LiveUSB documentation is still being maintained (last update appears to be November 2009) but if so this should be a relatively quick fix.
the steps are specifically for the liveCD produced by our release engineering team. the DVD is produced by other folks, not releng, so it's not documented by the GDP.