It's not to unusual for localities to still have 'illegal' laws on the books. I think you are good to go in Helena. Self defense is self defense, that's why law abiding citizens carry. I would say......
1) Preemption trumps their local statute.
2) the self defense exception apply's to regular folks but they could then throw a gun charge at someone using a firearm for crime. (Crime does not =self defense.)
3) IT's frikkin Montana, if you can't OC there the country is in big trouble.!