We've been using a similar approach at my office, except using cxxtest instead of UnitTest++, and now we're in the process to migrating to google's vastly superior (imho) gtest framework.
With cxxtest, we did something similar to what Patrick J. suggested, which was to basically add a build step which would run the test suite program via ant and cause the build to fail if any tests fail. The disadvantage of this approach is when the build fails due to a test result, then you have to go hunting through the console output to figure out what went wrong. Also you loose the nifty charts which hudson can generate if your test framework can output junit-compatible XML.
One of the motivating factors to switch to gtest is that it does generate junit XML, so in theory, hudson can parse the test results and publish them in a more sensible manner. Anyways, it doesn't look like UnitTest++ generates anything like this (please correct me if I'm wrong), so it might be a moot point, but at least integrating it into your build process will make sure that the tests get run during builds.