As far as I know, the question has been left ambiguous, as with most other issues in the Elder Scrolls games. I kind of like Helseth and his mother Barenziah after reading the dev Ted Peterson's take on him in the past, so I prefer to think that he didn't kill the king, but I don't think it's ever been proven.
Hopefully the two of them didn't get killed during the Red Year when the Ministry and Morrowind fell, but they haven't been mentioned in Greg Keyes' novel "The Infernal City". It would be interesting if they were mentioned in the upcoming sequel, but I somehow don't think they will be.