Yes. Can’t test right now but it should be something like Help > Documentation > Appendix > Preferences: General:
Click on links opens them externally: Enable opening links in document text in the system default application. Use ⇧-click to open and activate the default application. Note ⌘ or ⌥-clicks can be still used to open links in new tabs or to add them to the Download Manager, respectively.
You could use this script to index a duplicate of DEVONthink’s help. Searching an app’s help content from inside DEVONthink is far easier than searching inside the macOS help viewer (at least for me).