Help item created with a web page media type appears blank or throws an error

When you create a Help item with a web page media type: You see an error like the one below:

This is caused by a Cross-Origin Resource Sharing (CORS) security policy which blocks pages from being loaded in an iFrame that is hosted on a different domain, protocol or port. To avoid this error, make sure your web page is hosted in the same domain, or, if necessary, set your Web Page help items to "Show in New Window" under the Load Behavior configuration tab.