I updated the latest "JP", and updated the "local documentation". I can't seem to find the help files; where is the local documentation? When I click on help, all that is available are the online help docs???

The default location for the SONAR.CHM is "C:\Program Files\Cakewalk\SONAR Platinum"
There is a setting in Preferences > File > Advanced called "Always Use Local Help" to force SONAR to use the local help when connected to the internet. To see the advanced settings select the Advanced radio button at the bottom of the Preferences dialog.