You may have found issue accessing the local help. It should be possible using File>Settings>User>Preferences: Help Settings but it doesn't work well and it does always open Online Help.
You could change MS_HELP_LOAD_USEBROWSER to 0, to force using local help.
You could also let everything as it is and add a button to the ribbon with following keyin:
%explorer "C:\Program Files\Bentley\OpenRail Designer CONNECT Edition\OpenRailDesigner\Docs\OpenRailDesigner.chm"
You can be smarter using this keyin, especially if you customize the ribbon in a dgnlib:
$ %explorer $(MS_HELPPATH)$(_USTN_PRODUCT_HELPFILENAME).chm