I just tried in a Rh10 project and got the same result in a CHM but not in WebHelp, there the search worked so I suspect it is something in the Microsoft Help Compiler.
There is a solution if you can upgrade to Rh10. That allows you to generate WebHelp and then convert it to a skinned CHM. I just tried that and there the search worked in the CHM.
See www.grainge.org for RoboHelp and Authoring tips