Currently (with xfce4-screenshooter-1.8.0), when you click on the Help button, a wrong URI is opened into the browser. See  : now the xfhelp4 script is looking for index.html files. Since such index.html files are not found, xfhelp4 is falling back to a generic URI.
*** Bug 7876 has been marked as a duplicate of this bug. ***
Fixed in git master branch, thanks for reporting.