It should have installed them to $PSHome, which on my system is /opt/microsoft/powershell/6.1.0~preview.2
...on Windows. It should install to $PSHome on Windows, when run as admin.
Hmmmm
@Dennis If it installed into /root, you can try mv /root/.local/share/powershell/Help/* $PSHome or mv /root/.local/share/powershell/Help /usr/local/share/powershell and see which one make the link work
Determening to install globally or locally based on if the user has elevated permissions is an interesting idea.
This fails on Linux, since rather than elevating your own permissions, admin action is done by assuming the role of another user (root).