Hey @Nuera,
I’d first clarify that System Fonts like Helvetica Neue are not built-in, included, or loaded in Pro. System Fonts are on your computer, and Helvetica Neue is only available on Mac. On Windows, it will be fallback to Arial.

Regarding font weights, if a System Font weight is not working, that means the weight is not available in the system or not registered properly.
The solution for your problem is to use Custom Font using the Font Manager. That means you upload Helvetica Neue in the Font Manager (see https://theme.co/docs/font-manager#custom-fonts).
That way, every user of your website will see Helvetica Neue with the proper font weights provided you’ve uploaded the font weights in the Font Manager.
Hope that helps.