If you navigate to Datacenter -> Firewall -> Security Group and then click the "Help" button in the upper right corner, it takes you to the table of contents / introduction of the Proxmox VE Administration Guide. It should behave like the other help buttons in the other GUI components of the firewall and take you to the approproate section of the documentation here: /pve-docs/chapter-pve-firewall.html#pve_firewall_security_groups