If you press F1 to access the local Help files, nothing happened for me until I saw they were installed in the wrong place.
In my install, the files were placed at:
C:\Program Files (x86)\SOUND FORGE Shared Plug-Ins\Pro\Help Files
but Sound Forge was looking here:
C:\Program Files (x86)\MAGIX\Shared Plug-Ins\Help Files
After I copied them to that old location, the Help works fine.
I had upgraded from SF 12 and that was where they were placed back then, so I just copied from one place to the other.