It took me a while but I have been able to reproduce at least part of the problem in the attached project and its executable.
The original help file is "C:\Context help test\UI Help.chm". Its name has been changed (I added a "-") to see which control wrongly points to the original file or correctly to the "C:\Context help test\Untitled Project 1\My Application\data\UI Help.chm". The idea is that an executable cannot point to the original file location if it has to be transferred to another computer.
If you copy the "Context help test" directory in the root of your C drive, I think that you should see the problem. When running the executable, some of the controls (like the home, tabs, Record, Up buttons) will have the blue arrow in the context help window and others (like the Cancel and the Previous buttons) will have it grayed out if the dash is present in the original help file. Remove the dash and the arrow is blue for all controls.
It is only part of the problem I have seen with my other application but it should be related.
If you rebuild the executable, makes sure to rename the help file before.
Last minute note: If I build with LV 2011 64 bit, I get different results but the problem remains. However, if I build with LV 2011 32 bit, it seems that there is no problem.
Regards