VSdocman always generates correct links to .NET framework types, e.g. System.String. But links to referenced external types that are not a part of .NET framework (e.g. third-party controls) are not generated by default. Only the plain text is generated.
If you want to generate these links, you can set this option manually in project properties. Just open .vsdoc file for the project and change the value of VBdocman_linkForExternalNotInFramework key from 0 to -1 (there is no GUI option).
If the third-party assembly has no help installed, the links will point to non-existing page. When you click such a link, you'll get "Not found" error. If the third-party assembly has installed the help in MS Help2 or MS Help Viewer format, then clicking the link should open a correct topic.