Howdy
Coffinmaker is basically correct, although it is not the straight case that makes for blowby with 45 Colt. It is how heavy the case walls are. You don't mention whether you are planning to shoot Black Powder or Smokeless, but in either case, the heavier the bullet, the less blowby you will get. That is because a heavier bullet will delay just a little bit longer leaving the case, allowing pressure to build slightly higher. Higher pressure results in a better chamber seal. I recommend you go with a 250 grain RNFP for your new Henry. Yes, the recoil will be higher with a heavier bullet, but the Henry is a heavy rifle to begin with and you will barely notice the recoil.
If you want minimal blowby, load a stout load with a 250 grain bullet and give it a good, firm crimp. If blowby doesn't bother you, go with a lighter bullet.
You MUST stay within SAAMI specs for your ammo with the brass framed Henry, it is not strong enough for +P type loads. But anything published in a recognized loading manual will be fine. If you don't already have one I strongly suggest you get a good manual. Lee, Sierra, Lyman, and Hornady are all good. I particularly recommend the Lyman Pistol and Revolver Handbook.