Thankfully CHM generation was added back to mpl 1.4.0. However, the file downloaded from matplotlib download page does not display properly on a Win7/32 bit machine with IE 10.
When downloading to a local directory and opening it (double-clicking), the HTML pane to the right remains blank. The Index/TOC pane to the left works normally (File can be searched). The same machine can open CHM files generated by Sphinx 1.2.2 and the default theme without any issues.
Workaround for me was to use an alternative CHM-Viewer (e. g. SumatraPDF).
This is very likely due to a security feature of Windows because the file comes from an untrusted location: the Internet. In case you get a "Open File - Security Warning" dialog box when opening the CHM file, uncheck the "Always ask before opening this file" box. If not, right click on the CHM file and select "Properties" and then "Unblock".
Right-clicking the .CHM-file/"Properties"/Tab "General" and clicking button "Unblock" did the trick.
I was aware of the first problem (e. g. when opening a .CHM file from a UNC-share), but in this case you get the security warning. I was not aware that Windows blocks the content of a .CHM-file downloaded directly from the web to local disk without issuing any warning/note.
Issue resolved, thanks (maybe add a note to the download link?)