I think you are expecting too much of the chm help files; I guess 95% of their content is autogenerated and of little use, and usually they are out-dated...
Please learn how to navigate in the Lazarus source code, this provides the most up-to-date documentation that you can imagine.
Let's assume, you have a TDBGrid on your form and you want to see the events available for it. Ctrl+click on the identifier "TDBGrid" your source code, and Lazarus opens the source file at the position where TDBGrid is implemented. Depending on the version you may be shown the implementation or interface part of the unit - press SHIFT+CTRL+ArrowUp/Down to switch between both sections. When you are in the interface part of TDBGrid in unit grids.pas, you can scroll down a bit and you see a list of all events.
If you have Laz 1.8.4 as suggested by your signature, however, you will not find OnDrawColumnTitle because this event is available in v2.0 or later only. You can try one of the release condidates to get it.
Continued usage of CTRL+Click will bring you anywhere. This is the standard method I am using when studying code.
Another important shortcut is CTRL+b which brings you back to the previously displayed source code position. Note that this is for classical keyboard layout. In the default layout, I think, the key combination is ALT+Left arrow.