The problem here is this:
add_action('load-' .CUSTOM_POST_TYPE, 'my_plugin_add_help');
While your hunch that you need to put array( $this, 'my_plugin_add_help' ) because it’s inside a class is correct, the root of the problem is that the hook you’re trying to attach it to is never called, and isn’t a part of standard WordPress.
Instead, try hooking on to init, or better yet, admin_init ( help tabs only appear in the admin area ):
add_action( 'admin_init', array( $this, 'my_plugin_add_help' ) );