First off, you are not alone, by any means. Since CS4 was released there has been a constant and repeated outcry about this.
Officially, I believe, they "removed" the help panel for two reasons:
1 - to consolidate all help, for the sake of update-ability, as well as to better include the massive amount of help in the community.
2 - to drastically reduce the install time and size of the software on your local machine. One of the biggest complaints about CS3 was its ridiculous install times, and removing the local help cut the install time in half, at least.
I may be mistaken, but I believe that Adobe heard the outcry, and has been working diligently to improve the performance of help for CS5. I think I've seen demos showing great in-context help that is web-powered, and some other things. I am not sure if there has been any official word on the return of the awesome local help that was in CS3 and prior.
If you want to officially note this as a feature request, use their official bug and feature request form: https://www.adobe.com/cfusion/mmform/index.cfm?name=wishform&samcap=EWQQL&promoid=EWQQL as these forums are strictly peer-to-peer. Some Adobe employees do frequent the forums, but the only way to guarantee that your request or bug is seen is to use the official form for this purpose.
I don't think I've come across anyone who likes it without the help system built in. I haven't upgraded to CS4, and that is just one of the reasons for my avoiding it.
As to why they did it??? It's possiblte that like alot of the CS4 package it simply wasn't ready to be released, so they opted to leave it out... but that's just speculation on my part.
As far as letting Adobe know about your preference...
suggestions to Adobe - Wishlist
this was one of the most common complaints about cs4 when it first came out so, you're not alone.
but, i haven't heard whether cs5 will have the same setup as cs4 or whether users will have an option to open the help files within the ide.