The TSO/E help panels must be set up separately. Edit your SYS1.PARMLIB(IJKTSOxx) member in effect and ensure that the HELP statement refers to where the TSO/E help files are.

Tip: If you allocate a SYSHELP DDNAME in SYS1.PARMLIB, TSO/E searches there, rather than in the data sets pointed to by the TSO/E HELP statement.

See the topic in z/OS TSO/E Customization for more information about setting up help data sets.