When I try to edit any connection in the Connection Design workflow, the Contextual Help is always blank no matter what setting is selected. It should show some Help information depending on what setting is selected on the right hand side, shouldn't it?

Yes, the Contextual Help should show the information related to the specific setting selected on the right hand side. This issue is happening in STAAD.Pro version 22.10.00.153 and it should be addressed in the upcoming STAAD.Pro version. In the meantime, such workaround can be used:

1) Download the Html.zip archive from here (you need to be signed in to the Bentley Communities in order to be able to download that file);
2) Go to C:\Program Files\Bentley\Engineering\STAAD.Pro CONNECT Edition\STAAD\RamConnection\Html and delete all folders inside it (en, es, zn);
3) Extract the downloaded archive Html.zip and copy folders en, es, zh-cn to folder C:\Program Files\Bentley\Engineering\STAAD.Pro CONNECT Edition\STAAD\RamConnection\Html

Now the Contextual Help in the Connection Pad should show the required information.