In Windows 10 I can print the Help File Sections as PDF.
Open the Help File (from the Start Menu, by itself, not from DmD was what I did.)
Right Click a topic (e.g. Instruction Set)
Select Print
Select Print the selected heading and all subtopics. Then Click OK.
Choose Microsoft Print to PDF, All, and click Print.
Now sit back and wait and wait and wait until you see the Save Print Output As box and enter a file name.
Now sit back and wait and wait and wait until it completes.
Rinse and repeat for the other headings.
The Instruction Set PDF alone came out as 72,748 KB and 970 pages.
But still, you can do it. No hyperlinks though. BTW, it will open an HTML help file window during all this. It does have hyperlinks, but they don't necessarily work.
You can also go to the options tab in the first Print window and include all the linked documents. It appears to try to go out to the web and grab these, but I'm not swearing to that.