When accessing help internet explorer is launched to access help online.
SAS Support say
"I can confirm that the behaviour you are seeing is expected and by design. Please note that the help of some of the procedures point to a specific User's Guide, such as the SAS/STAT User's Guide in the case of the GLIMMIX procedure, and these User's Guides are not part of the offline help files that are installed on your computer. Thus, it is not possible to prevent these from being redirected to the SAS Documentation website."
There are many circumstances when working offline is essential or simply the only option due to lack of internet coverage. The change to online help from locally installed help is a regressive step which limits the functionality of SAS.