The German club's official admits the Spaniard has failed to fulfill expectations at the Veltins-Arena and revealed he was close to returning to Atletico earlier in the summer
The 26-year-old has struggled to make his mark at the Gelsenkirchen-based club since completing a €13 million move from Atletico Madrid in 2010.
As a result, the former Real Madrid youngster appeared to be heading for the exit door, but Heldt has seemingly given the Spaniard a third chance to redeem himself.
"He has been here for two years and he has had three coaches during this period," he told Bild. "We do not have to fix him, he must get things right himself.
"He is an extraordinary player, an excellent playmaker. But he must do much more, otherwise he will fail again in his third year."
Heldt revealed that Jurado was close to returning to Atletico earlier in the summer, only for the Spanish capital club to pull out of negotiations for the player at the last minute.
"We were already in agreement with Atletico, but then their president [Enrique Cerezo] changed his mind," The Schalked director explained.
"I think they would rather re-sign Diego [from Wolfsburg]. He is up for sale."