Normally, if you get the Kerdi close enough to the rough-in piece and tile it, the eschution with its seal will complete things enogh so you don't need to bring the Kerdi further in. If you really want to seal that area, get a tube of KerdiFix (or another urethane sealant), and seal it to the valve. I don't recommend that, nor do I feel it is necessary since the trim plate should seal it well enough, and gluing to the valve can be a big pain if you need to do service. Around things like body sprays, depending on their trims and the seals they may have, you may want to seal the Kerdi to the fixture with the sealant.
I would have tried to rearrange things so the pipes could be on an inside wall, but that's too late. You want the pipes in the room side of the cavity to get as much room heat as possible to prevent freezing. See what the concensus is before you jump off the deep end.