Your second structure is wrong, the verb needs to be negative.
ポケモンを 助けなければならない。「たすけなければならない」
The first sentence is actually a similar structure, it’s just cut off. To give an example.
ポケモンを 助けないといけません。
They’re both basically conditional sentences saying that “If you don’t save the pokemon, then we can’t go on.”. Which is generally how the Japanese say “we HAVE to do this”. But the case of ないと is normally shortened with the result of the conditional omitted.