Bullets require bitmaps in WinHelp 3, but can be put in as characters in WinHelp 4, according to the documentation. In some cases, bullet characters work better than bitmaps, which can interfere with paragraph indents and spacing:
The default is Bullets=Help, which uses in-line embedded bitmaps. To use characters instead, set Bullets=Standard. Dingbats and Wingdings usually work in WinHelp 4, but sometimes they come out as text characters. If that happens, use the bitmap instead, by setting BMPsForDingbats=Yes.