If you were to use semicolons, you would have to also put one before help me:
I found three sentences in the notes: I am not alone; I am here all by myself; and help me.
But even though this is understandable, it's awkward.
The problem with using periods is shown by the part I have put in bold in the following:
I found three sentences in the notes: I am not alone. I am here all by myself. Help me.
It isn't until you've read to at least I am here all by myself that you understand it's supposed to be three sentences following the colon instead of just two.
Normally, colons do not terminate a sentence. On a very initial reading, the part in bold could be interpreted to mean something different:
I found three sentences in the notes: I am not alone in finding three sentences.
The use of a colon there would be strange, so it looks odd right away.
It isn't until you read further that you understand what's going on. But this requires an additional cognitive step. Once you understand what's happening, you have to go back and read everything again.
In fact, until I understood exactly what you were trying to express, I was confused by both of your examples.
There are a few other stylistic ways that this could be represented:
I found three sentences in the notes: "I am not alone," "I am here all by myself," and "help me."
I found three sentences in the notes: (1) I am not alone, (2) I am here all by myself, and (3) help me.
Even though technically speaking what's in the quotation marks and what follows the numbers are not completely punctuated sentences, it's made clear from context that each entry is supposed to represent a sentence.
Perhaps the best method is to use a vertical list.
I found three sentences in the notes:
- I am not alone.
- I am here all by myself.
- Help me.
The words and punctuation used here are the same as those used when presenting it horizontally. But, because of the visual appearance, there is no hesitancy in parsing what's going on. In other words, it's no longer awkward.
However, if you want a horizontal presentation, then using either quotation marks or numbered items would be the easiest to parse and, therefore, the least awkward.