(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\SysWOW64\help.exe (or guessing, C:\Windows\System32\help.exe on 32-bit Windows)
I guess that listing EVERY executables would simply result in a huge list that most people will never read, so they only list built-in functions of the command prompt (
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!)