Have you tested on an actual Chinese operating system?
I recall there are some quirks with CHM files and other languages and you may not be able to fully test unless you try on an actual operating system for the destination language.One bit of supporting evidence for that is the fact your navigation tabs are still showing in English in the screen capture.
Your screenshot shows a CHM layout but rather than move the post to that forum, I have put it in the RoboHelp HTML forum as it may be an issue in other outputs that someone else has encountered.
Meantime take a look at Item 9 at http://www.grainge.org/pages/snippets/snippets.htm#chms
I don't know if it will help but it was written by authors who use Chinese.
See www.grainge.org for RoboHelp and Authoring tips
You are right, the screenshot you saw was taken on an English OS, but colleagues of mine using Chinese systems have reported seeing the same thing. Is there any way to change the font that is used for the Index in a CHM output?