Just noticed today that the
apex:inputField field-level help icon and help text are not rendered when a Visualforce page is run in Lightning Experience. It looks like field-level help text only appeared recently in default layout UI based in this idea Help text on hover inside lightning Experience delivered in Winter '17.
If you know how to fix this for Visualforce please post an answer. Or if not and this is of interest to you, vote for this idea I just created Help text on hover for Visualforce inside Lightning Experience.