This has nothing to do with insulation trays (whatever they are?) or cavity trays. The rain is simply penetrating the flashing through the corners of the cuts. The way this flashing has been made is from a single sheet of lead. The lead is cut to form the diamond shape and the cut tab is fixed into the chase. The weakness is at the corner of the cut. I've seen this dozens of times and can see holes in your flashing. The fix is fairly simple, just lever the lead away from the brick about 5 or 6mm and seal with a polysulphide sealant. Crap design though. Overlapping lead pieces like in r896neo's example is far better.
