After upgrade to Intel Visual Fortran Compser XE 2013.4, including MKL, for Windows (released on May 29),
no MKL documentation has been integrated in MSHelp 2.0, due apparently non-updated links (see image below)
I have already solved the problem on my computer.
The problem was due to different version numbers in the file names:
1) in the file helpcontentsetup.msha references are given to the following files:
2) presented are files:
mkl_userguide_11_0_4.cab with mklman_11_0_3.mshc inside, and
mklman_11_0_4.cab with mkl_userguide_11_0_3.mshc inside
So, my solution was just to rename mkl_userguide_11_0_4.cab -> mkl_userguide_11_0_3.cab, and
mklman_11_0_4.cab -> mklman_11_0_3.cab.
Then, the documentation can be added into the help system manually.