When help is requested, the code takes another path

That is correct. But Parser isn't calling the InstanceBuilder.Build . It Fire the Help Screen.
InvokeBuild in Test call InstanceBuilder.Build .

The Parser still in help request fire InvalidOperationException.

The attached file is a demo project to demonestrate help request with the Immutable class.
ConsoleApp1.zip
run:

Edit:
In case of using InvokeBuild, autohelp parameter should be false.

The next Test case Pass successfully.

 [Fact]
        public void Parse_Immutable_with_default_ctor_and_help__request_throw_InvalidOperationException()
        {

            Action act = () => InvokeBuild<ValueWithNoSetterOptions>(new string[] { "--help" }, false);
            act.Should().Throw<InvalidOperationException>();
        }