Last time I worked with JavaHelp I noted the same thing. I am not sure what their thinking* was, but it seems JH was designed to only handle the help files (e.g. URLs) that were mentioned in the help index. :(
* Though JH is based around <tt>JEditorPane</tt>, which was never intended for 'real world' browsing, so maybe the makers of JH decided to take a cautious approach and only allow URLs that were 'specifically intended as help files' - hence ignoring anything but what is in the index. That is my 'best guess'.