I have had 2 flags denied now, and I always wondered - is this a bad thing?
Two flags is nothing. As a percentage, you're also doing well.
Should I be disheartened if my flag gets denied?
Nope. Just learn from it! Or if you're convinced, try to explain your case (perhaps using the "Other" flag reason).
Should I worry about wasting the time of a moderator, because it shouldn't have been flagged?
No. If you see something going wrong we absolutely want you to flag it, a few misses here and there are perfectly fine (especially if you're improving your flagging as you go).
An exception is when people flag posts they just don't like, or instead of editing. That's really annoying and not how flags should be used.
I only flag posts for closure because I can't vote to close a post - should I not?
Until you can VTC, flagging is the right way to do it.
What deem's a 'helpful' flag?
Most often, one that results in some kind of action. If your flag is for the wrong reason but I think another reason still applies, I'll mark it helpful. If an answer is nigh-unintelligible and you flagged as Not an Answer, but I happen to know what they're talking about and I edit instead, I'll mark the flag helpful.
I won't mark the flag helpful in cases where someone flags NAA but it's just a spelling and grammar error-ridden post where the meaning is still clear. That's the decline reason that says "Flags should only be used where moderator intervention is required"; we aren't here to do editing on your behalf :)
I will also occasionally mark flags helpful in cases where I do absolutely nothing except think hard about it. When an issue is borderline and I just barely am on the "nothing needs to be done" side, I won't fault you for flagging it.