First of all, like I said to the other guy: my post isn't about Ole. It's about the massively flawed logic of picking a goalkeeper purely based on 'penalty save rate'.
But since you brought it up: Henderson has played less than 100 games on the highest level. How many penalties has he faced in that time? I'd guess somewhere between 5 and 20. And if that is the case, then we're talking about a sample size that is too small to strongly conclude that he is a significant improvement.
That's not to mention the psychological aspect. Has Henderson ever been put in a high pressure situation like that? Can we say for sure that he would be as composed as he would when playing for Sheffield United and no one really expects anything?
Lastly, you make it sound like only Ole(or bad managers) would make that call. But historically, the call Ole made is a typical one. Even among good coaches.
I also guarantee you that he would have been even more criticised if he made the switch and we still lost.
EDIT:
So I googled it. Henderson has only faced 5 penalties at the highest level(for a Premier League team). He's saved 2 of them. Not exactly a huge sample size.