That's a bug in conda's implementation of that help command, I think. On Windows, scripts and entry points are much more complicated than on Unix. The file on unix is just bin/conda, but on windows there is:
conda-script.py
conda.exe
conda.exe is a simple executable (originally from distutils, I think) that goes looking for a file named conda-script.py, and uses python to run it. The bug here is that conda help somehow still thinks it should look for conda (as a python file), when really it should be looking for conda-script, or instead calling the conda.exe file as a subprocess, rather than trying to run it as a python script.
Please file an issue on the conda github tracker, and we'll try to look into it soon.