Never heard of basic WebHelp leaving cookies, but companies may have customized their output to include something. A quick test would be to disable cookies on your browser & the access the site’s WebHelp and see what happens.
I've never known WebHelp to set a cookie either.
Eons ago I worked in a call center and the whole "cookie" conundrum emerged where folks were running around like chickens with their heads cut off screaming the world as they knew it was ending because of all these cookies. Privacy was out the window and gaaaaahh!
While I'm no expert on them, it's my own understanding that even if a web page sets a cookie, ONLY the web page that set it can actually access the cookie information. Then again, with all the creativity of hackers these days, who knows for sure what they can access?
Back in the days when I was a corporate drone, I used cookies to store things like USER ID and suchlike as a courtesy to my users. It always seemed silly to me that they should be forced to type repetitive things like their name and department into the forms I used. So once they did it one time, the next time they used the form it fetched the cookie information and populated those redundant fields. But that was something special I had to do. RoboHelp didn't do it for me.