If I select SEF url in the Help URL Method, the help documentation of the JCE site will be displayed even if I enter my own URL in the Help URL. Is this because something is wrong with my input? Or is it a bug?

Please install JCE Pro 2.9.19 Beta - https://www.joomlacontenteditor.net/downloads/editor/pro/development

I'm thinking of preparing a category for help documentation on my site and adding help articles within that category. Is this idea wrong? And in this case, what should I enter in the Help URL Pattern?

It would be very helpful if you could explain with a concrete example.

That is correct, but each article must be assigned to a menu item with an alias that matches the xreference, so that the article has the correct SEF URL, matching the generated URL of the help item.

For example, for the the About the Editor article would need to be assigned to a menu with an alias of "about", which is in a parent menu / category with an alias of "editor", as the xreference is editor.about.

A list of the help items with xreference is available here - https://gist.github.com/ryandemmer/9fe29e0d844ff325c35a833fec911784

So for example, for the first item - "Global Configuration" - which has an xreference of admin.config.about, the menu / alias structure would be:

admin
- config
-- about

The system was built on xreference which is why I use that term to refer to what is essentially a "keyword" that the Help dialog menu uses to access each help item. So, when I refer to xreference in my explanation above, read it as "keyword" or whatever. This keyword is essenitally a dot notation value that can represent the category and article alias.

The list is available here - Keyword list

Do you have an example help site you have set up? What is the URL?