This is an "answer you own question" contribution.
I have been struggling for a day trying to get anchor to work in NSHelpManager system on 10.15, in order to be able to open a given help page with the openHelpAnchor:inBook: method.
Apple documentation for help system is old and have not been updated for a while.
The hiutil man page give a hint, stating :
Spotlight help indices are required in macOS Mojave or later.
But using any of the two formats available did not work by itself.
So I had to reverse engineer by browsing the help ressources of Xcode itself to find the solution.