Agreed. It's really frustrating. I have a feeling it's less about Helix Native though and more about Ableton. Still, more guides would be helpful.
By the way, as part of my troubleshooting process I downloaded Reaper and it was the easiest to get working and verify that Helix Native was in fact capable of seeing midi messages from my controller. MainStage was a no go, Ableton seemed like it should work, but mysteriously wasn't. Reaper just worked. Unfortunately I don't care much for the interface and Live wound up being a better fit.
That being said, I've run into some other head scratchers with Ableton Live that I've had to find some creative workarounds for so it's not perfect.