To answer my own question, I ended up finding out that for some reasons, the paths for the registry keys at :
HKCU\Software\Embarcadero\BDS\20.0\Help\HtmlHelp1Files
were all pointing to some non existing directory. I changed them to reflect where the actual
help files were located and now I have help.
Thankfully, I had 10.2 installed so just needed to compare the registry info.
Ed