Compiled HTML is not Windows specific, in fact Linux had better chm-file readers long before good PDF-readers.
Just because it's not installed by default, it doesn't mean it's "not supported", with that logic would PDFs not be a format for Windows (< 8 ) since there's no reader shipped with Windows.
The reason why SFML.NET is shipped with a chm file is probably, because it's easier to generate. With PDF generation you'll need to get some LaTeX compiler, which isn't always that straight forward and can come in different versions with different problems. But I guess it's worth suggesting.