In short, Heisley decided he didn't want to sign the guy to 120% of the rookie scale. Which, yes, is negotiable under the salary cap rules, but in practice everyone (I think except for one or two players in the entire history of the rookie scale!), signs for 120% of the rookie scale.
Henry's agent is Reinsdorf buddy Arn Tellem. He's athletic, can defend, and can shoot the lights out. If this isn't an obvious guy to go after, I don't know who is.