If we are talking about the CL as the marker of success in a player's career (which it isn't), Henry is the definition of shitting the bed - he could have won Arsenal the CL in Paris and he choked. Twice.
His CL win with Barca came because of Messi, Xavi, Iniesta, Puyol etc - not something Henry should take full credit for. He was mostly a passenger.
With France he rode the coattails of Zidane and co also - the one time Zidane was injured and Henry was expected to assume leadership, the team got bounced in the group.
Zlatan is overrated but I prefer him to Henry