Hmm, that's odd. I guess they changed it at some point. On mine it includes a button that says "Show information on date format syntax" which takes you here. The page is actually quite nice, including presets, references, and even a "build your own" date format.
When I made my own, I just pulled up the reference and started playing around. It really wasn't that difficult (or unintuitive).
Yeah, I think that might have came later or in an update, because when I was trying to change it at the time I don't remember the interface providing or linking to any kind of formatting reference. The site you linked would've been mucho helpful.