I have a custom object with custom help page, with Context-Sensitive Help Setting, select Open a window using a Visualforce page. This Visualforce page is the custom help page. This link shows properly on custom object related list in Classic. But in Lightning Experience, this help link does not show up at all on custom object related list. Anyone can help?
As per this, Find Help in Lightning Experience, you can’t customize the items in the help menu. If you’ve created custom help links, those links still work from the “Help for this Page” links in the framed Salesforce Classic pages. However, your custom help links don’t appear in the new Help menu.
From Spring'19, we'll be able to customize the Help Menu in Lightning Experience. More details can be found here.