Exactly, helium is likely bound to exhaustion along with natural gases deposits: the only source of helium, currently. It can't be replaced with another gas, at least not in supercoducting magnets, so it's a problem. In the future, fusion power plants will be optimised to reduce helium losses, recycle helium produced by the reactions and may also have to extract helium from the atmosphere. The latter is a rather expensive process given that the concentration is just a few ppm.

Capturing and using gases doesn't typically prevent them from ending up in the atmosphere, unfortunately.

Like others have said though - helium escapes our atmosphere naturally and quite literally leaves Earth. That's how we're loosing all of our supply - it's just being vented into space constantly.