I came here to complain about the same thing. Even when you hover over the S1 program icon in the task bar and click on your session thumbnail to go back to your session, [see image]:
once you are in the Help window, you cannot go back. The only way to return to your session is to move your mouse to the top of your screen and click the minimize button of the Help window. It's a bit distracting and annoying.
Studio One Pro 5 user here.