Time2HELP doesn't find out whether a class is a component or just an "ordinary" class just by inspecting the class. Many classes deriving from TComponent are not to be regarded as components themselves, but only as ancestors of other classes/components (TForm, TCustomForm, TCustomGrid etc).
If you have a component image for the class/component in a .dcr file, you can add this .dcr file to the project ("Delphi Component Images") node. This will also mark the class as a component to T2H. (A class in the project having the same name as a bitmap in a .dcr file will be assumed to be a component).
If you use DocComments, use the @component tag. Within UnitDocs, set the Type attribute to Component.
In the project settings, use the Component Images page to set the .dcr files T2H should extract component images from. You can simply press Scan Project for DCR Files to get T2H to find all the relevant .dcr files for you. Time2HELP does this by checking for .dcr files with the same filestem as any .pas file in the project. For a given class, if there exists a component image for it (in any .dcr file) T2H includes it in the output.
In order to get events properly classified, you need to include some search paths. See Separating Events From Properties.