That speaks more of your own personal experience. For my part, I haven't seen it used much at all, but when it has in this context it tends to be as a euphemism the more clearly pejorative 'cry for attention'. It's also worth noting that seriously depressed people are very likely to apply it in a negative context to themselves. So in their case "cry for help" becomes "helpless" becomes "pathetic" becomes "worthless".
Consider the term 'attention-seeking'. On that face of it, its literal meaning isn't negative - after all, some problems require and can benefit from receiving attention. In practice however, the term is smothered in negative connotations and is a highly dismissive/pejorative label.A cry for help means just that, a cry for help. The phrase does not imply helplessness at all. Linking the phrase "a cry for help" to helplessness undermines the whole message.