Thanks DunedinDragon! By using a MIDI monitor I could see that the MIDI commands were not leaving Reaper. The problem was that I needed to route the Reaper channel to "Line 6 Helix".
The next problem was that Reaper was sending the command every bar by default. To solve this, I had to go into the "items property" and uncheck the "loop source" button.
Reaper is great and flexible, but sometimes it is difficult to configure . . .
I did not have to change the HELIX global settings. The defaults worked fine.