Helguson headed wide in the second half when a cross from Ashley Young found him unmarked and unchallenged in the penalty area.
The Icelandic striker also did his best to convert an opening in the first half, when he slid in unchallenged but made only the faintest of contact with the ball and it drifted wide of the upright.
Watford produced a total of 22 goal attempts but Rotherham keeper Mike Pollitt did not have a real save to make.
The Millers, on the other hand, did test Watford keeper Richard Lee when Shaun Barker produced a surprise shot ten minutes from time - but Lee managed to parry.
Watford dominated the first half and played some entertaining and inventive football, but lacked the decisive touch in the final third.
Rotherham defended well throughout, prepared to put bodies in the way of shots and crosses all afternoon.
It was a resolute performance from the visitors but they did very little when going forward.
In the second half Watford mounted a succession of attacks on the Rotherham goal, but luck was not with them.
United, still seeking their first victory of the season, began to grow in confidence towards the end and the home side looked nervous for a period.
There was a blow for Watford when they lost substitute Hameur Bouazza four minutes after he came on as substitute - stretchered off with a suspected dislocated shoulder.
Bouazza could be out for some time and Rotherham could lose Chris Sedgwick after they agreed to sell him to Preston for £300,000.
Sedgwick played a largely defensive role in midfield but did set up Junior for their only other shot of note, but Lee was right behind it and saved comfortably.