(I was going to answer this, but then I did some research for you and this is not what I first thought, so +1 as I have learnt a bit here!)
When you type help, it launches c:\windows\syswo64\help.exe (or guessing, c:\windows\system32\help.exe on 32bit)
I guess that listing EVERY executable would simply be a huge list that most people will never read, so they only list built in functions of the command prompt (if, for, goto etc.) and other commands which are generally used all the time.
FYI, if you want to see what is a "built in" command and what is a program, you can create a empty folder and navigate to it, then type
next, try any of the commands, if like typing "if" works, it is built in, if typing help does not work, you know it was a command located somewhere else (again +1, I thought help was always a built in command!)