While both base Julia and MATLAB are bundled with a lot of numerical computing code, not all names are immediately available and import statements are used to load code and make names available. In the example above, using LinearAlgebra loaded the package and made its exported names available, including diag.
Since help?> only sees the available names, you should use alternative ways to find names that haven’t been imported yet. Searching the terms in a browser often works because they managed to pick up a lot of webpages. If you think a name or feature might be available in a documentation, you can look in those specifically. As mentioned, some documentation websites have a search bar you can use to find possible page matches, narrowing down what you have to look through. Even an imprecise search “diagonal” will end up lising LinearAlgebra.diag.
which also works by feeding a string into the help mode (help?> "diag"). As you can see above it can be noisy, but on the upside it can find things where the name of the function is maybe unexpected to you but the docstring contains what you’re after. It also takes regexes so a well crafted query can reduce the noise.