Has your post-processor output of helical moves enabled, see the circular move section in PB or PC, depending on what you use?
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Is that picture what you mean with PB or PC? I have tried to find some place to enable helical moves from my post-processor but I have not found it.
Import the custom command PB_CMD_helix - there are some settings in there that allow configuration. If your post kinematics are table type - NX should give you circles.