Today, I learned Helium does burn, and when it burns, it forms Carbon.

https://www.britannica.com/science/chemical-element/Processe...

Granted, the flare gas probably doesn't reach the prerequisite 100M-200M kelvin. I suspect high pressure is also required so the Helium stays close to the heat source.

Parent is referring to natural gas

Helium deposits don't exist is the thing, the same structures in the Earth which trap methane gas also trap helium gas and some of them trap enough to make recovery economically viable.