I finally worked out a solution, although not one that the documentation recommends. The .chm file cannot be in the .exe! Keep it as a separate file in InstallShield and everything works just fine. And yes you do need to install the VFP8HTMLHelp.msm module or the individual files, and be prepared to install HHUPDT.exe.

Based on what I found on FoxWiki, and Install Shield and Microsoft Knowledge Bases the problem is fairly common, but nowhere did I find a message that says, "Thanks, that worked", so I guess none of the advice there really did work for anyone. It certainly did not work for me.

I hope this helps the next person.
David